Martingale transforms and Girsanov theorem for long-memory Gaussian processes

The long-memory Gaussian processes presented as the integrals and are considered. The fractional Brownian motion is a particular case when [phi],[psi],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.

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Year of publication:	2001
Authors:	Mishura, Yuliya ; Valkeila, Esko
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 55.2001, 4, p. 421-430
Publisher:	Elsevier
Keywords:	Long-memory Gaussian processes Martingale transforms Girsanov theorem Hellinger process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223921