An optimal approximation of Rosenblatt sheet by multiple Wiener integrals

DOI10.1007/S00009-017-0856-3MaRDI QIDQ2362970zbMATH OpenOpenAlexFDO

Authors Guangjun Shen, Qian Yu

Publication date 12 July 2017

Published in Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1505.03225

zbMATH Keywords

approximationRosenblatt sheetWiener integrals

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Stochastic integrals (60H05)

Abstract: Let $$ be the Rosenblatt sheet with the representation ${\displaystyle }$ Z^{alpha,�eta}(t,s)=int^t_0int^s_0int^t_0int^s_0Q^alpha(t,y_1,y_2)Q^�eta(s,u_1,u_2)B(dy_1,du_1)B(dy_2,du_2) ${\displaystyle }$ where $B$ is a Brownian sheet, $$, $Q^{a}lpha$ and $$ are the given kernel. In this paper, we contruct multiple Wiener integrals of the form �egin{align*} int^t_0int^s_0int^t_0int^s_0&[k_1(y_1,y_2)^{-frac12alpha}(u_1,u_2)^{-frac12�eta}+k_2(y_1vee y_2)^{frac12alpha}(y_1wedge y_2)^{-frac12alpha}|y_1-y_2|^{alpha-1}\ &cdot(u_1vee u_2)^{frac12�eta}(u_1wedge u_2)^{-frac12�eta}|u_1-u_2|^{�eta-1}]B(dy_1,du_1)B(dy_2,du_2),~~k_1,k_2geq0, end{align*} and obtain an optimal approximation of $$.

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Cited in

(2)

• Approximating the Rosenblatt process by multiple Wiener integrals
• Approximation of the Rosenblatt process by semimartingales

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