In this note, we investigate the density of the exponential functional of the fractional Brownian motion. Based on the techniques of Malliavin’s calculus, we provide a log-normal upper bound for the density
1 figureIn this paper we obtain Gaussian type lower bounds for the density of solutions to stochasti...
This is the published version, also available here: http://www.dx.doi.org/10.1214/12-AOP825.We prove...
International audienceIn this paper we establish the existence of a square integrable occupation den...
This is the published version, also available here: http://dx.doi.org/10.1214/ECP.v8-1079.This note ...
27 pagesIn this paper we study upper bounds for the density of solution of stochastic differential e...
International audienceWe prove the Malliavin regularity of the solution of a stochastic differential...
International audienceWe discuss the relationships between some classical representations of the fra...
AbstractWe prove the Malliavin regularity of the solution of a stochastic differential equation driv...
This is the publisher's version, also available electronically from http://ecp.ejpecp.org/article/vi...
Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian...
International audienceWe study asymptotic expansion of the likelihood of a certain class of Gaussian...
This article investigates several properties related to densities of solutions (Xt)t∈[0,1] to differ...
© 2014 Society for Industrial and Applied Mathematics. In some nonregular statistical estimation pro...
The H-derivative of the expected supremum of fractional Brownian motion with drift over time interva...
This is the published version, also available here: http://dx.doi.org/10.1214/009117905000000288.We ...
1 figureIn this paper we obtain Gaussian type lower bounds for the density of solutions to stochasti...
This is the published version, also available here: http://www.dx.doi.org/10.1214/12-AOP825.We prove...
International audienceIn this paper we establish the existence of a square integrable occupation den...
This is the published version, also available here: http://dx.doi.org/10.1214/ECP.v8-1079.This note ...
27 pagesIn this paper we study upper bounds for the density of solution of stochastic differential e...
International audienceWe prove the Malliavin regularity of the solution of a stochastic differential...
International audienceWe discuss the relationships between some classical representations of the fra...
AbstractWe prove the Malliavin regularity of the solution of a stochastic differential equation driv...
This is the publisher's version, also available electronically from http://ecp.ejpecp.org/article/vi...
Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian...
International audienceWe study asymptotic expansion of the likelihood of a certain class of Gaussian...
This article investigates several properties related to densities of solutions (Xt)t∈[0,1] to differ...
© 2014 Society for Industrial and Applied Mathematics. In some nonregular statistical estimation pro...
The H-derivative of the expected supremum of fractional Brownian motion with drift over time interva...
This is the published version, also available here: http://dx.doi.org/10.1214/009117905000000288.We ...
1 figureIn this paper we obtain Gaussian type lower bounds for the density of solutions to stochasti...
This is the published version, also available here: http://www.dx.doi.org/10.1214/12-AOP825.We prove...
International audienceIn this paper we establish the existence of a square integrable occupation den...
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