Density estimates for the exponential functionals of fractional Brownian motion
oleh: Tien Dung, Nguyen, Thu Hang, Nguyen, Phuong Thuy, Pham Thi
| Format: | Article |
|---|---|
| Diterbitkan: | Académie des sciences 2022-02-01 |
Deskripsi
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.