Density estimates for the exponential functionals of fractional Brownian motion
Probability
2021-09-23 v1
Abstract
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.
Cite
@article{arxiv.2109.10491,
title = {Density estimates for the exponential functionals of fractional Brownian motion},
author = {Nguyen Tien Dung and Nguyen Thu Hang and Pham Thi Phuong Thuy},
journal= {arXiv preprint arXiv:2109.10491},
year = {2021}
}
Comments
9 pages,to appear in Comptes Rendus Mathematique