Geodesic
On the sum of Gaussian martingale and an independent fractional Brownian motion
Teoriâ veroâtnostej i ee primeneniâ, Tome 68 (2023) no. 2, pp. 383-392

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In the same context as in the seminal paper [P. Cheridito, Bernoulli, 7 (2001), pp. 913–934], we are concerned with the semimartingale property of the sum of some Gaussian martingale and an independent fractional Brownian motion with Hurst parameter $H \in (0,1)$. At the same time, we emphasize that the Markov property is lost even if the martingale owns it.
Keywords: Gaussian martingale, semimartingale, entropy, equivalent measure, Markov process.
Mots-clés : quasimartingale 
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R. Belfadli; M. Chadad; M. Erraoui. On the sum of Gaussian martingale and an independent fractional Brownian motion. Teoriâ veroâtnostej i ee primeneniâ, Tome 68 (2023) no. 2, pp. 383-392. http://geodesic.mathdoc.fr/item/TVP_2023_68_2_a9/