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

نویسندگان

  • Ilkka Norros
  • Esko Valkeila
  • Jorma Virtamo
چکیده

1 Summary The Radon-Nikodym derivative between a centered fractional Brownian motion Z and the same process with constant drift is derived by nding an integral transformation which changes Z to a process with independent increments. A representation of Z through a standard Brownian motion on a nite interval is given. The maximum likelihood estimator of the drift and some other applications are presented.

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تاریخ انتشار 1996