Density estimates for the exponential functionals of fractional Brownian motion
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.
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Académie des sciences
2022-02-01
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| Series: | Comptes Rendus. Mathématique |
| Online Access: | https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.5802/crmath.274/ |
| Summary: | 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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| ISSN: | 1778-3569 |