Approximation of the Rosenblatt process by semimartingales

DOI10.1080/03610926.2015.1088032MaRDI QIDQ4975166zbMATH OpenOpenAlexFDO

Authors Litan Yan, Yumiao Li, Di Wu

Publication date 3 August 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2015.1088032

zbMATH Keywords

semimartingaleoptimal approximationRosenblatt process

Mathematics Subject Classification ID

Gaussian processes (60G15) (L^p)-limit theorems (60F25) Self-similar stochastic processes (60G18)

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Cited in

(4)

• Approximating the Rosenblatt process by multiple Wiener integrals
• The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications
• A normal approximation for semimartingales
• A stochastic calculus for Rosenblatt processes

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