The Radon-Nikodym derivative between a centred fractional Brownian motion Z and the same process with constant drift is derived by finding an integral transformation which changes Z to a process with independent increments. A representation of Z through a standard Brownian motion on a finite interval is given. The maximum-likelihood estimator of the drift and some other applications are presented.
No takes yet. Share an insight, caveat, or question.
Norros et al. (1999) studied this question.
Synapse has enriched 3 closely related papers on similar clinical questions. Consider them for comparative context: