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

Electronic Communications in Probability

Volumn 8, Issue , 2003, Pages 102-111

  Lanjri Zadi, Noureddine ^a   Nualart, David ^b  

^a IBN TOFAIL UNIVERSITY   (Morocco)

^b UNIVERSITY OF BARCELONA   (Spain)

Author keywords

Fractional Brownian motion; Fractional calculus; Malliavin calculus

Indexed keywords

EID: 3042655532     PISSN: None     EISSN: 1083589X     Source Type: Journal    
DOI: 10.1214/ECP.v8-1079     Document Type: Article

References (10)

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5. Florit, C. and Nualart, D., A local criterion for smoothness of densities and application to the supremum of the Brownian sheet. Statistics and Probability Letters 22 (1995) 25-31.
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9. Samko, S. G., Kilbas, A.A. and Mariachev, O. I., Fractional integrals and derivatives. Gordon and Breach Sience (1993).
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