| Título: | Smoothness of the law of the supremum of the fractional Brownian motion |
| Autores: |
Zaïdi, Noureddine Lanjri; Université Ibn Tofaïl, Kénitra, Maroc Nualart, David; Universitat de Barcelona |
| Fecha: | 2003-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Malliavin calculus, fractional Brownian motion, fractional calculus 60H07, 60G18 |
| Descripción: | 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. |
| Idioma: | No aplica |
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