Martingale transforms and Girsanov theorem for long-memory Gaussian processes

Yuliya Mishura and Esko Valkeila

Statistics & Probability Letters, 2001, vol. 55, issue 4, 421-430

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.

Keywords: Long-memory; Gaussian; processes; Martingale; transforms; Girsanov; theorem; Hellinger; process (search for similar items in EconPapers)
Date: 2001
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