A moment estimate of the derivative process in rough path theory
Probability
2010-07-28 v1
Abstract
In this paper we prove the derivative process of a rough differential equation driven by Brownian rough path has finite -moment for any . 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.
Keywords
Cite
@article{arxiv.1007.4651,
title = {A moment estimate of the derivative process in rough path theory},
author = {Yuzuru Inahama},
journal= {arXiv preprint arXiv:1007.4651},
year = {2010}
}