A uniform estimate for rough paths
Probability
2013-11-06 v5
Abstract
We prove an extension to the classical continuity theorem in rough paths. We show that two -rough paths are close in all levels of iterated integrals provided the first terms are close in a uniform sense. Applications include estimation of the difference of the signatures of two uniformly close paths and convergence rates of Gaussian rough paths.
Cite
@article{arxiv.1110.5278,
title = {A uniform estimate for rough paths},
author = {Terry Lyons and Weijun Xu},
journal= {arXiv preprint arXiv:1110.5278},
year = {2013}
}
Comments
Published at Bulletin des Sciences Math\'ematiques