Kolmogorov distance between the exponential functionals of fractional Brownian motion
Probability
2019-07-23 v2
Abstract
In this note, we investigate the continuity in law with respect to the Hurst index of the exponential functional of the fractional Brownian motion. Based on the techniques of Malliavin's calculus, we provide an explicit bound on the Kolmogorov distance between two functionals with different Hurst indexes.
Keywords
Cite
@article{arxiv.1906.08552,
title = {Kolmogorov distance between the exponential functionals of fractional Brownian motion},
author = {Nguyen Tien Dung},
journal= {arXiv preprint arXiv:1906.08552},
year = {2019}
}
Comments
To appear in Comptes Rendus Mathematique, 7 pages