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 |
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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/ |
| _version_ | 1797651456548929536 |
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| author | Tien Dung, Nguyen Thu Hang, Nguyen Phuong Thuy, Pham Thi |
| author_facet | Tien Dung, Nguyen Thu Hang, Nguyen Phuong Thuy, Pham Thi |
| author_sort | Tien Dung, Nguyen |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-11T16:16:06Z |
| format | Article |
| id | doaj.art-3e93b7baa73f48a58c58a307caf2a065 |
| institution | Directory Open Access Journal |
| issn | 1778-3569 |
| language | English |
| last_indexed | 2024-03-11T16:16:06Z |
| publishDate | 2022-02-01 |
| publisher | Académie des sciences |
| record_format | Article |
| series | Comptes Rendus. Mathématique |
| spelling | doaj.art-3e93b7baa73f48a58c58a307caf2a0652023-10-24T14:19:41ZengAcadémie des sciencesComptes Rendus. Mathématique1778-35692022-02-01360G215115910.5802/crmath.27410.5802/crmath.274Density estimates for the exponential functionals of fractional Brownian motionTien Dung, Nguyen0Thu Hang, Nguyen1Phuong Thuy, Pham Thi2Department of Mathematics, VNU University of Science, Vietnam, National University, Hanoi, 334 Nguyen Trai, Thanh Xuan, Hanoi, 084 VietnamDepartment of Mathematics, Hanoi University of Mining and Geology, 18 Pho Vien, Bac Tu Liem, Hanoi, 084 VietnamThe faculty of Basic Sciences, Vietnam Air Defence and Air Force Academy, Son Tay, Ha Noi, 084 VietnamIn 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.https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.5802/crmath.274/ |
| spellingShingle | Tien Dung, Nguyen Thu Hang, Nguyen Phuong Thuy, Pham Thi Density estimates for the exponential functionals of fractional Brownian motion Comptes Rendus. Mathématique |
| title | Density estimates for the exponential functionals of fractional Brownian motion |
| title_full | Density estimates for the exponential functionals of fractional Brownian motion |
| title_fullStr | Density estimates for the exponential functionals of fractional Brownian motion |
| title_full_unstemmed | Density estimates for the exponential functionals of fractional Brownian motion |
| title_short | Density estimates for the exponential functionals of fractional Brownian motion |
| title_sort | density estimates for the exponential functionals of fractional brownian motion |
| url | https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.5802/crmath.274/ |
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