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Smoothness of the law of the supremum of the fractional Brownian motion
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Noureddine Lanjri Zaïdi, Université Ibn Tofaïl, Kénitra, Maroc
David Nualart, Universitat de Barcelona
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Abstract
This note is devoted to prove that the supremum of a fractional Brownian
motion with Hurst parameter $Hin left( 0,1right)$ has an infinitely
differentiable density on $left( 0,infty right)$. The proof of this
result is based on the techniques of the Malliavin calculus.
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Full text: PDF
Pages: 102-111
Published on: September 15, 2003
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Electronic Communications in Probability. ISSN: 1083-589X |
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