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

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.

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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

Published: august 1999
First available in Project Euclid: 19 February 2007

zbMATH: 0955.60034
MathSciNet: MR1704556

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

Rights: Copyright © 1999 Bernoulli Society for Mathematical Statistics and Probability

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Vol.5 • No. 4 • august 1999
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