Density estimates for the exponential functionals of fractional Brownian motion

Autor:	Dung, Nguyen Tien, Hang, Nguyen Thu, Thuy, Pham Thi Phuong
Rok vydání:	2021
Předmět:	Mathematics - Probability
Druh dokumentu:	Working Paper
Popis:	In this note, we investigate the density of the exponential functional of the fractional Brownian motion. Based on the techniques of Malliavin's calculus, we provide a log-normal upper bound for the density. Comment: 9 pages,to appear in Comptes Rendus Mathematique
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2109.10491 Zobrazit plný text záznamu View this record from Arxiv