Martingale transforms and Girsanov theorem for long-memory Gaussian processes
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Publication:1612950
DOI10.1016/S0167-7152(01)00162-6zbMATH Open1002.60030WikidataQ127863456 ScholiaQ127863456MaRDI QIDQ1612950FDOQ1612950
Authors: Esko Valkeila, Yuliya S. Mishura 
Publication date: 5 September 2002
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
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Cites Work
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- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
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- Stochastic analysis of the fractional Brownian motion
- Stock market prices and long-range dependence
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- Stochastic differential equations. An introduction with applications.
- Stochastic and multiple Wiener integrals for Gaussian processes
- An elementary approach to filtering in systems with fractional Brownian observation noise
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Cited In (5)
- 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
- Rate of convergence for the Smoluchowski-Kramers approximation for distribution-dependent SDEs driven by fractional Brownian motions
- Fractional backward stochastic differential equations and fractional backward variational inequalities
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