Density estimates for the exponential functionals of fractional Brownian motion

DOI10.5802/CRMATH.274MaRDI QIDQ2116735zbMATH OpenOpenAlexWikidataFDO

Authors Nguyen Tien Dung, Nguyen Thu Hang, Pham Thi Phuong Thuy

Publication date 18 March 2022

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2109.10491

zbMATH Keywords

fractional Brownian motion

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22)

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.

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Cites work

• Exponential functionals of Brownian motion and related processes
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Exponential functionals of Brownian motion. II: Some related diffusion processes
• Gaussian lower bounds for the density via Malliavin calculus
• Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions
• Kolmogorov distance between the exponential functionals of fractional Brownian motion
• Stochastic heat equation with fractional Laplacian and fractional noise: existence of the solution and analysis of its density
• The Malliavin Calculus and Related Topics
• The density of solutions to multifractional stochastic Volterra integro-differential equations

Cited in

(10)

• Estimates for exponential functionals of continuous Gaussian processes with emphasis on fractional Brownian motion
• Density estimates and central limit theorem for the functional of fractional SDEs
• Kolmogorov distance between the exponential functionals of fractional Brownian motion
• Order estimate of functionals related to fractional Brownian motion
• Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion
• Projection estimators of the stationary density of a differential equation driven by the fractional Brownian motion
• scientific article; zbMATH DE number 6400800 (Why is no real title available?)
• Tail probability estimates for additive functionals
• Tail estimates for exponential functionals and applications to SDEs
• Density of the signature process of fBm

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