An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
type: Item
instance of: scholarly article
title: An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
zbMATH Open document ID: 0955.60034
DOI: 10.2307/3318691
author: Ilkka Norros
author: Esko Valkeila
author: Jorma Virtamo
published in: Bernoulli
publication date: 2001-02-16T00:00:00Z
review text: 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.
reviewed by: Heinrich von Weizsäcker
Mathematics Subject Classification ID: 60G15
Mathematics Subject Classification ID: 60G25
Mathematics Subject Classification ID: 60G30
Mathematics Subject Classification ID: 62M99
zbMATH DE Number: 1348244
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: Gaussian martingales
zbMATH Keywords: Girsanov density
zbMATH Keywords: beta function
zbMATH Keywords: maximum likelihood
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.2307/3318691
OpenAlex ID: W2040337767
description: scientific article; zbMATH DE number 1348244