Smoothness of Density for the Area Process of Fractional Brownian Motion

Patrick Driscoll

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arXiv · 1010.3047

Smoothness of Density for the Area Process of Fractional Brownian Motion

Patrick Driscoll

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Abstract

We consider a process given by a two-dimensional fractional Brownian motion with Hurst parameter 1/3 < H < 1/2, along with an associated L\'evy area, and prove the smoothness of a density for this process with respect to Lebesgue measure.

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Patrick Driscoll. 2010-10-15. Smoothness of Density for the Area Process of Fractional Brownian Motion. https://arxiv.org/abs/1010.3047

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