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Smoothness of densities for area-like processes of fractional Brownian motion
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  • Published: 23 September 2011

Smoothness of densities for area-like processes of fractional Brownian motion

  • Patrick Driscoll1 

Probability Theory and Related Fields volume 155, pages 1–34 (2013)Cite this article

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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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Authors and Affiliations

  1. University of Virginia, 141 Cabell Drive, Kerchof Hall, Charlottesville, VA, 22903, USA

    Patrick Driscoll

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  1. Patrick Driscoll
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Correspondence to Patrick Driscoll.

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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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  • Received: 05 October 2010

  • Revised: 05 September 2011

  • Published: 23 September 2011

  • Issue Date: February 2013

  • DOI: https://doi.org/10.1007/s00440-011-0389-9

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Mathematics Subject Classification (2000)

  • 60H07
  • 60G22
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