Martingale transforms and Girsanov theorem for long-memory Gaussian processes (Q1612950)
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scientific article; zbMATH DE number 1796648
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Martingale transforms and Girsanov theorem for long-memory Gaussian processes |
scientific article; zbMATH DE number 1796648 |
Statements
Martingale transforms and Girsanov theorem for long-memory Gaussian processes (English)
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5 September 2002
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Long-memory Gaussian processes presented as stochastic integrals with respect to a standard Wiener process are considered. The fractional Brownian motion is a particular case when the integrands are the power functions. The integrals are transformed into Gaussian martingales. The Girsanov theorem for the long-memory Gaussian processes is stated and the Hellinger process is calculated.
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long-memory Gaussian processes
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martingale transforms
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Girsanov theorem
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Hellinger process
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0.87770313
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0.8775723
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0.87536186
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0.8738885
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0.87362957
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