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 language | English |
|---|---|
| Pages (from-to) | 571-587 |
| Journal | Bernoulli |
| Volume | 5 |
| Issue number | 4 |
| Publication status | Published - 1999 |
| MoE publication type | A1 Journal article-refereed |
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Norros, I., Valkeila, E., & Virtamo, J. (1999). An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions. Bernoulli, 5(4), 571-587. https://projecteuclid.org/euclid.bj/1171899318