Abstract
The long-memory Gaussian processes presented as the integrals V t= ∫ 0 t h(t−s)ϕ(s) dW s and B t= ∫ 0 t ψ(s) dV s are considered. The fractional Brownian motion is a particular case when ϕ, ψ, h are the power functions. The integrals V t are transformed into Gaussian martingales. The Girsanov theorem for B t is stated and the Hellinger process is calculated.
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