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

被引：274

作者：

Norros, I

Valkeila, E

Virtamo, J

机构：

[1] VTT Informat Technol, FIN-02044 Espoo, Finland

[2] Univ Helsinki, Dept Math, FIN-00014 Helsinki, Finland

[3] Helsinki Univ Technol, Lab Telecommun Technol, FIN-02015 Helsinki, Finland

来源：

BERNOULLI | 1999年 / 5卷 / 04期

关键词：

fractional Brownian motion; Gaussian processes; maximum-likelihood estimator; prediction; stochastic integration;

D O I：

10.2307/3318691

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 [统计学]; 070103 [概率论与数理统计]; 0714 [统计学];

摘要：

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.

引用

页码：571 / 587

页数：17

共 12 条

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[Anonymous], 1988, Journal of Time Series Analysis

[2]

[Anonymous], 1991, CONTINUOUS MARTINGAL, DOI DOI 10.1007/978-3-662-21726-9

[3]

DEREUSEFOND L, 1999, POTENTIAL ANAL, V10, P177

[4]

FEYEL D, 1996, FRACTIONAL INTEGRALS