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2003 Smoothness of the law of the supremum of the fractional Brownian motion
Noureddine Zaïdi, David Nualart
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Electron. Commun. Probab. 8: 102-111 (2003). DOI: 10.1214/ECP.v8-1079

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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Noureddine Zaïdi. David Nualart. "Smoothness of the law of the supremum of the fractional Brownian motion." Electron. Commun. Probab. 8 102 - 111, 2003. https://doi.org/10.1214/ECP.v8-1079

Information

Accepted: 15 September 2003; Published: 2003
First available in Project Euclid: 18 May 2016

MathSciNet: MR2042749
Digital Object Identifier: 10.1214/ECP.v8-1079

Subjects:
Primary: 60H07
Secondary: 60G18

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