Kolmogorov distance between the exponential functionals of fractional Brownian motion

Published 20 Jun 2019 in math.PR | (1906.08552v2)

Abstract: In this note, we investigate the continuity in law with respect to the Hurst index of the exponential functional of the fractional Brownian motion. Based on the techniques of Malliavin's calculus, we provide an explicit bound on the Kolmogorov distance between two functionals with different Hurst indexes.

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Authors (1)

Nguyen Tien Dung

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