Density estimates for the exponential functionals of fractional Brownian motion

DOI10.5802/CRMATH.274zbMATH Open1498.60154arXiv2109.10491OpenAlexW3199441601WikidataQ115479247 ScholiaQ115479247MaRDI QIDQ2116735FDOQ2116735

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

Publication date: 18 March 2022

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

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.

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

Recommendations

• Kolmogorov distance between the exponential functionals of fractional Brownian motion
• Density estimates and central limit theorem for the functional of fractional SDEs
• On distributions of exponential functionals of the processes with independent increments
• Smoothness of the law of the supremum of the fractional Brownian motion
• scientific article

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)

Cites Work

• The Malliavin Calculus and Related Topics
• 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-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions
• The density of solutions to multifractional stochastic Volterra integro-differential equations
• Gaussian lower bounds for the density via Malliavin calculus
• Stochastic heat equation with fractional Laplacian and fractional noise: existence of the solution and analysis of its density
• Kolmogorov distance between the exponential functionals of fractional Brownian motion

Cited In (4)

• Estimates for exponential functionals of continuous Gaussian processes with emphasis on 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
• Title not available (Why is that?)

This page was built for publication: Density estimates for the exponential functionals of fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2116735)