dc.contributor.author | Zadi, Noureddine Lanjri | |
dc.contributor.author | Nualart, David | |
dc.date.accessioned | 2015-03-11T20:09:40Z | |
dc.date.available | 2015-03-11T20:09:40Z | |
dc.date.issued | 2003-07-25 | |
dc.identifier.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. | en_US |
dc.identifier.uri | http://hdl.handle.net/1808/17050 | |
dc.description | This is the published version, also available here: http://dx.doi.org/10.1214/ECP.v8-1079. | en_US |
dc.description.abstract | 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. | en_US |
dc.publisher | Institute of Mathematical Statistics | en_US |
dc.subject | Malliavin calculus | en_US |
dc.subject | fractional Brownian motion | en_US |
dc.subject | fractional calculus | en_US |
dc.title | Smoothness of the law of the supremum of the fractional Brownian motion | en_US |
dc.type | Article | |
kusw.kuauthor | Nualart, David | |
kusw.kudepartment | Mathematics | en_US |
dc.identifier.doi | 10.1214/ECP.v8-1079 | |
kusw.oaversion | Scholarly/refereed, publisher version | |
kusw.oapolicy | This item does not meet KU Open Access policy criteria. | |
dc.rights.accessrights | openAccess | |