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Smoothness of Density for the Area Process of Fractional Brownian Motion

Published 15 Oct 2010 in math.PR | (1010.3047v1)

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 L\'evy area, and prove the smoothness of a density for this process with respect to Lebesgue measure.

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Authors (1)

  1. Patrick Driscoll 

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