Smoothness of Density for the Area Process of Fractional Brownian Motion

2010/10/15 by Patrick Driscoll, Driscoll, Patrick
Mathematics · #60G15 #60H07 #60H10 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60G15 #msc:60H07 #msc:60H10

paper · pdf · doi:10.48550/arxiv.1010.3047

31 pages, 1 figure

arxiv created 2010/10/15 · arxiv updated 2010/10/18

Abstract

We consider a process given by a two-dimensional fractional Brownian motion with Hurst parameter 1/3 < H < 1/2, along with an associated Lévy area, and prove the smoothness of a density for this process with respect to Lebesgue measure.

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