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 1 ; Nguyen Thu Hang 2 ; Pham Thi Phuong Thuy 3
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@article{CRMATH_2022__360_G2_151_0,
author = {Nguyen Tien Dung and Nguyen Thu Hang and Pham Thi Phuong Thuy},
title = {Density estimates for the exponential functionals of fractional {Brownian} motion},
journal = {Comptes Rendus. Math\'ematique},
pages = {151--159},
publisher = {Acad\'emie des sciences, Paris},
volume = {360},
year = {2022},
doi = {10.5802/crmath.274},
language = {en},
}
TY - JOUR AU - Nguyen Tien Dung AU - Nguyen Thu Hang AU - Pham Thi Phuong Thuy TI - Density estimates for the exponential functionals of fractional Brownian motion JO - Comptes Rendus. Mathématique PY - 2022 SP - 151 EP - 159 VL - 360 PB - Académie des sciences, Paris DO - 10.5802/crmath.274 LA - en ID - CRMATH_2022__360_G2_151_0 ER -
%0 Journal Article %A Nguyen Tien Dung %A Nguyen Thu Hang %A Pham Thi Phuong Thuy %T Density estimates for the exponential functionals of fractional Brownian motion %J Comptes Rendus. Mathématique %D 2022 %P 151-159 %V 360 %I Académie des sciences, Paris %R 10.5802/crmath.274 %G en %F CRMATH_2022__360_G2_151_0
Nguyen Tien Dung; Nguyen Thu Hang; Pham Thi Phuong Thuy. Density estimates for the exponential functionals of fractional Brownian motion. Comptes Rendus. Mathématique, Volume 360 (2022), pp. 151-159. doi : 10.5802/crmath.274. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.5802/crmath.274/
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