Abstract
This note is devoted to prove that the supremum of a fractional Brownian motion with Hurst parameter $H\in \left( 0,1\right)$ has an infinitely differentiable density on $\left( 0,\infty \right)$. The proof of this result is based on the techniques of the Malliavin calculus.
Citation
Noureddine Zaïdi. David Nualart. "Smoothness of the law of the supremum of the fractional Brownian motion." Electron. Commun. Probab. 8 102 - 111, 2003. https://doi.org/10.1214/ECP.v8-1079
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