Smoothness of the law of the supremum of the fractional Brownian motion

View/ Open
Issue Date
2003-07-25Author
Zadi, Noureddine Lanjri
Nualart, David
Publisher
Institute of Mathematical Statistics
Type
Article
Article Version
Scholarly/refereed, publisher version
Metadata
Show full item recordAbstract
This note is devoted to prove that the supremum of a fractional Brownian motion with Hurst parameter H∈(0,1) has an infinitely differentiable density on (0,∞). The proof of this result is based on the techniques of the Malliavin calculus.
Description
This is the published version, also available here: http://dx.doi.org/10.1214/ECP.v8-1079.
Collections
Citation
Zadi, Noureddine Lanjri & Nualart, David. "Smoothness of the law of the supremum of the fractional Brownian motion." Electronic Communications in Probability. (2003) Vol 8. pp. 102-111. http://dx.doi.org/10.1214/ECP.v8-1079.
Items in KU ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
We want to hear from you! Please share your stories about how Open Access to this item benefits YOU.