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arXiv · 2109.10491

Density estimates for the exponential functionals of fractional Brownian motion

Nguyen Tien Dung·Nguyen Thu Hang·Pham Thi Phuong Thuy
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Abstract

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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Nguyen Tien Dung, Nguyen Thu Hang, Pham Thi Phuong Thuy. 2021-09-22. Density estimates for the exponential functionals of fractional Brownian motion. https://arxiv.org/abs/2109.10491

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