Smoothness of Density for the Area Process of Fractional Brownian Motion

Abstract

We consider a process given by a two-dimensional fractional Brownian motion with Hurst parameter 1/3 < H < 1/2, along with an associated Lévy area, and prove the smoothness of a density for this process with respect to Lebesgue measure.

31 pages, 1 figure

Cited by in corpus (2)

• Doob--Meyer for rough paths
• Upper bounds for the density of solutions of stochastic differential equations driven by fractional Brownian motions