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Martingale transforms and Girsanov theorem for long-memory Gaussian processes

Author

Listed:
  • Mishura, Yuliya
  • Valkeila, Esko

Abstract

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.

Suggested Citation

  • Mishura, Yuliya & Valkeila, Esko, 2001. "Martingale transforms and Girsanov theorem for long-memory Gaussian processes," Statistics & Probability Letters, Elsevier, vol. 55(4), pages 421-430, December.
  • Handle: RePEc:eee:stapro:v:55:y:2001:i:4:p:421-430
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