Abstract
We consider a process given by a n-dimensional fractional Brownian motion with Hurst parameter \({\frac{1}{4} < H < \frac{1}{2}}\), along with an associated Lévy area-like process, and prove the smoothness of the density for this process with respect to Lebesgue measure.
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Driscoll, P. Smoothness of densities for area-like processes of fractional Brownian motion. Probab. Theory Relat. Fields 155, 1–34 (2013). https://doi.org/10.1007/s00440-011-0389-9
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DOI: https://doi.org/10.1007/s00440-011-0389-9