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The Annals of Mathematical Statistics, 1969 openaire +2 more sources
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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.
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