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

• DOI: 10.2307/3318691
• Publication Date: 2006-04-18T05:47:22Z
• Authors: Ilkka Norros; Esko Valkeila; Jorma Virtamo
• Keywords: Girsanov theorem; Fractional Brownian motion; Brownian excursion

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