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

Ilkka Norros, J. Virtamo, Esko Valkeila

Research output: Contribution to journalArticleScientificpeer-review

Original languageEnglish
Pages (from-to)571-587
JournalBernoulli
Issue number5(4)
Publication statusPublished - 1999
MoE publication typeA1 Journal article-refereed

Keywords

  • fractional Brownian motion
  • gaussian processes
  • maximum-likelihood estimator
  • prediction
  • stochastic integration

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