Smoothness of Density for the Area Process of Fractional Brownian Motion

Details Smoothness of Density for the Area Process of Fractional Brownian Motion Smoothness of Density for the Area Process of Fractional Brownian Motion

2010-10-15

arxiv.org/abs/1010.3047v1

Mathematics

Probability

31 pages, 1 figure

Scientific paper

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

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