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Density estimates for the exponential functionals of fractional Brownian motion
Authors
Nguyen Thu Hang
Nguyen Tien Dung
Pham Thi Phuong Thuy
Publication date
1 January 2022
Publisher
'Cellule MathDoc/CEDRAM'
Doi
Abstract
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
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