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arXiv · 1906.08552

Kolmogorov distance between the exponential functionals of fractional Brownian motion

Nguyen Tien Dung
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Abstract

In this note, we investigate the continuity in law with respect to the Hurst index of the exponential functional of the fractional Brownian motion. Based on the techniques of Malliavin's calculus, we provide an explicit bound on the Kolmogorov distance between two functionals with different Hurst indexes.

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Nguyen Tien Dung. 2019-06-20. Kolmogorov distance between the exponential functionals of fractional Brownian motion. https://arxiv.org/abs/1906.08552

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