Smoothness of the law of the supremum of the fractional Brownian motion

DOI10.1214/ECP.v8-1079zbMath1060.60057MaRDI QIDQ1768205

David Nualart, Noureddine Lanjri Zadi

Publication date: 14 March 2005

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/124516

zbMATH Keywords

fractional Brownian motionMalliavin calculusfractional calculus

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (9)

Finite time approach to equilibrium in a fractional Brownian velocity field ⋮ Extrema of multi-dimensional Gaussian processes over random intervals ⋮ Construction of a surface integral under local Malliavin assumptions, and related integration by parts formulas ⋮ Smoothness of the distribution of the supremum of a multi-dimensional diffusion process ⋮ Small ball probabilities and large deviations for grey Brownian motion ⋮ On the density of the supremum of the solution to the linear stochastic heat equation ⋮ Non-uniqueness for reflected rough differential equations ⋮ Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations ⋮ On density functions related to discrete time maximum of some one-dimensional diffusion processes

This page was built for publication: Smoothness of the law of the supremum of the fractional Brownian motion