Bernoulli

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  • 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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Abstract

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.

Article information

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

Dates
First available in Project Euclid: 19 February 2007

Permanent link to this document
https://projecteuclid.org/euclid.bj/1171899318

Mathematical Reviews number (MathSciNet)
MR1704556

Zentralblatt MATH identifier
0955.60034

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

Citation

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. https://projecteuclid.org/euclid.bj/1171899318


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References

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