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