Integrability Estimates for Gaussian Rough Differential Equations

Details Integrability Estimates for Gaussian Rough Differential Equations Integrability Estimates for Gaussian Rough Differential Equations

2011-04-10

arxiv.org/abs/1104.1813v4

Mathematics

Probability

Scientific paper

We derive explicit tail-estimates for the Jacobian of the solution flow of stochastic differential equations driven by Gaussian rough paths. In particular, we deduce that the Jacobian has finite moments of all order for a wide class of Gaussian process including fractional Brownian motion with Hurst parameter H>1/4. We remark on the relevance of such estimates to a number of significant open problems.

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