A Moment estimate of the derivative process in rough path theory

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

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

Original languageEnglish
Pages (from-to)2183-2191
Number of pages9
JournalProceedings of the American Mathematical Society
Volume140
Issue number6
DOIs
Publication statusPublished - Feb 27 2012
Externally publishedYes

Fingerprint

Rough Paths
Moment Estimate
Differential equations
Derivatives
Derivative
Rough
Differential equation
Moment
Context

All Science Journal Classification (ASJC) codes

  • Mathematics(all)
  • Applied Mathematics

Cite this

A Moment estimate of the derivative process in rough path theory. / Inahama, Yuzuru.

In: Proceedings of the American Mathematical Society, Vol. 140, No. 6, 27.02.2012, p. 2183-2191.

Research output: Contribution to journalArticle

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