A moment estimate of the derivative process in rough path theory

Details A moment estimate of the derivative process in rough path theory A moment estimate of the derivative process in rough path theory

2010-07-27

arxiv.org/abs/1007.4651v1

Mathematics

Probability

Scientific paper

In this paper we prove the derivative process of a rough differential
equation driven by Brownian rough path has finite $L^r$-moment for any $r /ge
1$. Thanks to Burkholder-Davis-Gundy's inequality, this kind of problem is easy
in the usual SDE theory. In the context of rough path theory, however, it does
not seem so obvious.

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