### Abstract

Original language | English |
---|---|

Pages (from-to) | 571-587 |

Number of pages | 17 |

Journal | Bernoulli |

Volume | 5 |

Issue number | 4 |

Publication status | Published - 1999 |

MoE publication type | A1 Journal article-refereed |

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### Cite this

*Bernoulli*,

*5*(4), 571-587.

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*Bernoulli*, vol. 5, no. 4, pp. 571-587.

**An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions.** / Norros, Ilkka; Valkeila, Esko; Virtamo, Jorma.

Research output: Contribution to journal › Article › Scientific › peer-review

TY - JOUR

T1 - An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions

AU - Norros, Ilkka

AU - Valkeila, Esko

AU - Virtamo, Jorma

PY - 1999

Y1 - 1999

N2 - 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.

AB - 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.

M3 - Article

VL - 5

SP - 571

EP - 587

JO - Bernoulli

JF - Bernoulli

SN - 1350-7265

IS - 4

ER -