✦ LIBER ✦
Martingale transforms and Girsanov theorem for long-memory Gaussian processes
✍ Scribed by Yuliya Mishura; Esko Valkeila
- Publisher
- Elsevier Science
- Year
- 2001
- Tongue
- English
- Weight
- 134 KB
- Volume
- 55
- Category
- Article
- ISSN
- 0167-7152
No coin nor oath required. For personal study only.
✦ Synopsis
The long-memory Gaussian processes presented as the integrals Vt = t 0 h(t -s)'(s) dWs and Bt = t 0 (s) dVs are considered. The fractional Brownian motion is a particular case when '; ; h are the power functions. The integrals Vt are transformed into Gaussian martingales. The Girsanov theorem for Bt is stated and the Hellinger process is calculated.