Martingale transforms and Girsanov theorem for long-memory Gaussian processes

DOI10.1016/S0167-7152(01)00162-6zbMath1002.60030WikidataQ127863456 ScholiaQ127863456MaRDI QIDQ1612950

Esko Valkeila, Yuliya S. Mishura

Publication date: 5 September 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Girsanov theoremmartingale transformslong-memory Gaussian processesHellinger process

Mathematics Subject Classification ID

Gaussian processes (60G15) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (4)

Intermittency for the wave and heat equations with fractional noise in time ⋮ The rate of convergence for the Smoluchowski-Kramers approximation for stochastic differential equations with FBM ⋮ On the eigenvalue process of a matrix fractional Brownian motion ⋮ Fractional backward stochastic differential equations and fractional backward variational inequalities

Uses Software

• longmemo

Cites Work

• Stochastic and multiple Wiener integrals for Gaussian processes
• Stochastic analysis of the fractional Brownian motion
• Stock market prices and long-range dependence
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Approximation of some processes
• Stochastic differential equations. An introduction with applications.
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