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.
Citation
Ilkka Norros. Esko Valkeila. Jorma Virtamo. "An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions." Bernoulli 5 (4) 571 - 587, august 1999.
Information