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


 
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1. Title Title of document Smoothness of the law of the supremum of the fractional Brownian motion
 
2. Creator Author's name, affiliation, country Noureddine Lanjri Zaïdi; Université Ibn Tofaïl, Kénitra, Maroc
 
2. Creator Author's name, affiliation, country David Nualart; Universitat de Barcelona
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Malliavin calculus, fractional Brownian motion, fractional calculus
 
3. Subject Subject classification 60H07, 60G18
 
4. Description 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.
 
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6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2003-09-15
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1079
 
10. Identifier Digital Object Identifier 10.1214/ECP.v8-1079
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 8
 
12. Language English=en
 
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