• Bernoulli
  • Volume 5, Number 4 (1999), 571-587.

An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions

Ilkka Norros, Esko Valkeila, and Jorma Virtamo

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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.

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Bernoulli, Volume 5, Number 4 (1999), 571-587.

First available in Project Euclid: 19 February 2007

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fractional Brownian motion Gaussian processes maximum-likelihood estimator prediction stochastic integration


Norros, Ilkka; Valkeila, Esko; Virtamo, Jorma. An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions. Bernoulli 5 (1999), no. 4, 571--587.

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