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摘要
In this paper, we consider the optimal approximation of a Rosenblatt process based on semimartingales of the form M-t = integral(t)(0) integral(t)(0) a(y(1),y(2))db(y1)dB(y2), 0 <= t <= 1 where (y(1), y(2))?a(y(1), y(2)) is a square integrable process and B is a standard Brownian motion. We show that there exists a unique semimartingale closest to Rosenblatt process if a is deterministic.
- 出版日期2017
- 单位东华大学
