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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An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions. / Norros, Ilkka; Valkeila, Esko; Virtamo, Jorma.
In: Bernoulli, Vol. 5, No. 4, 1999, p. 571-587.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 -