Applications of the Girsanov theorem for multivariate fractional Brownian motions

DOI10.4310/CIS.2021.V21.N2.A5MaRDI QIDQ2048476zbMATH OpenOpenAlexFDO

Authors Monika Camfrlová, Petr Čoupek

Publication date 6 August 2021

Published in Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/cis.2021.v21.n2.a5

zbMATH Keywords

drift parameter estimationGirsanov theoremmultivariate fractional Brownian motionstochastic differential equationweak solution

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
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Cited in

(2)

• Basic properties of the Multivariate Fractional Brownian Motion
• Girsanov theorem for multifractional Brownian processes

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