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

Ilkka Norros, Esko Valkeila, Jorma Virtamo

Research output: Contribution to journalArticleScientificpeer-review

222 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)571-587
Number of pages17
JournalBernoulli
Volume5
Issue number4
Publication statusPublished - 1999
MoE publication typeA1 Journal article-refereed

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