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1 results on '"Semimartingale"'

1. Approximation of the Rosenblatt process by semimartingales.

Author

Yan, Litan, Li, Yumiao, and Wu, Di

Subjects
*APPROXIMATION theory, *SEMIMARTINGALES (Mathematics), *INTEGRABLE functions, *BROWNIAN motion, *DETERMINISTIC algorithms
Abstract

In this paper, we consider the optimal approximation of a Rosenblatt process based on semimartingales of the formwhere (y1,y2)â†Ĥa(y1,y2) is a square integrable process andBis a standard Brownian motion. We show that there exists a unique semimartingale closest to Rosenblatt process ifais deterministic. [ABSTRACT FROM PUBLISHER]

Published
2017
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