An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
Norros, Ilkka ; Valkeila, Esko ; Virtamo, Jorma
Bernoulli, Tome 5 (1999) no. 6, p. 571-587 / Harvested from Project Euclid
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The Radon-Nikodym derivative between a centred fractional Brownian motion Z and the same process with constant drift is derived by finding an integral transformation which changes Z to a process with independent increments. A representation of Z through a standard Brownian motion on a finite interval is given. The maximum-likelihood estimator of the drift and some other applications are presented.
Publié le : 1999-08-14
Classification:  fractional Brownian motion,  Gaussian processes,  maximum-likelihood estimator,  prediction,  stochastic integration 
@article{1171899318,
     author = {Norros, Ilkka and Valkeila, Esko and Virtamo, Jorma},
     title = {An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions},
     journal = {Bernoulli},
     volume = {5},
     number = {6},
     year = {1999},
     pages = { 571-587},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1171899318}
}

Norros, Ilkka; Valkeila, Esko; Virtamo, Jorma. An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions. Bernoulli, Tome 5 (1999) no. 6, pp.  571-587. http://gdmltest.u-ga.fr/item/1171899318/