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

   
@article{ECP1079,
	author = {Noureddine Zaïdi and David Nualart},
	title = {Smoothness of the law of the supremum of the fractional Brownian motion},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {8},
	year = {2003},
	keywords = {Malliavin calculus, fractional Brownian motion, fractional calculus},
	abstract = {This note is devoted to prove that the supremum of a fractional Brownian motion with Hurst parameter $H\in \left( 0,1\right)$ has an infinitely differentiable density on $\left( 0,\infty \right)$. The proof of this result is based on the techniques of the Malliavin calculus.},
	pages = {no. 12, 102-111},
	issn = {1083-589X},
	doi = {10.1214/ECP.v8-1079},    
        url = {http://ecp.ejpecp.org/article/view/1079}}