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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Volume (Year): 55 (2001)
Issue (Month): 4 (December)
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