Martingale transforms and Girsanov theorem for long-memory Gaussian processes

DOI10.1016/S0167-7152(01)00162-6MaRDI QIDQ1612950zbMATH OpenWikidataFDO

Authors Esko Valkeila, Yuliya S. Mishura

Publication date 5 September 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Girsanov theoremmartingale transformslong-memory Gaussian processesHellinger process

Mathematics Subject Classification ID

Gaussian processes (60G15) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 822726 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 850379 (Why is no real title available?)
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• An elementary approach to filtering in systems with fractional Brownian observation noise
• Approximation of some processes
• Stochastic analysis of the fractional Brownian motion
• Stochastic and multiple Wiener integrals for Gaussian processes
• Stochastic differential equations. An introduction with applications.
• Stock market prices and long-range dependence

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
• Fractional backward stochastic differential equations and fractional backward variational inequalities
• Rate of convergence for the Smoluchowski-Kramers approximation for distribution-dependent SDEs driven by fractional Brownian motions

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Uses Software

• longmemo

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