An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions (Q1304018)
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| Language | Label | Description | Also known as |
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| English | An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions |
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An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions (English)
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16 February 2001
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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.
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fractional Brownian motion
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Gaussian martingales
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Girsanov density
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beta function
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maximum likelihood
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