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 language | English |
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Pages (from-to) | 2183-2191 |
Number of pages | 9 |
Journal | Proceedings of the American Mathematical Society |
Volume | 140 |
Issue number | 6 |
DOIs | |
Publication status | Published - 2012 |
Externally published | Yes |
All Science Journal Classification (ASJC) codes
- Mathematics(all)
- Applied Mathematics