Applications of the Girsanov theorem for multivariate fractional Brownian motions

DOI10.4310/CIS.2021.v21.n2.a5zbMath1492.60096OpenAlexW3169135554MaRDI QIDQ2048476

Monika Camfrlová, Petr Čoupek

Publication date: 6 August 2021

Published in: Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/cis.2021.v21.n2.a5

zbMATH Keywords

stochastic differential equationweak solutionGirsanov theoremdrift parameter estimationmultivariate fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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