Martingale transforms and Girsanov theorem for long-memory Gaussian processes
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.
scientific article; zbMATH DE number 1796648