Smoothness of densities for area-like processes of fractional Brownian motion

DOI10.1007/s00440-011-0389-9zbMath1268.60080arXiv1010.3047MaRDI QIDQ1939560

Patrick J. Driscoll

Publication date: 4 March 2013

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.3047

zbMATH Keywords

fractional Brownian motion; Malliavin calculus; Lévy area

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60H07: Stochastic calculus of variations and the Malliavin calculus

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ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION, Malliavin differentiability of solutions of rough differential equations

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