An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions

Ilkka Norros, Esko Valkeila, Jorma Virtamo
1999 Bernoulli  
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.
doi:10.2307/3318691 fatcat:xvrsa3neezh7hbgup7crpmchia