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1. MOMENT ESTIMATE OF THE DERIVATIVE PROCESS IN ROUGH PATH THEORY.

Author

Inahama, Yuzuru

Subjects
*MOMENTS method (Statistics), *ROUGH sets, *PATHS & cycles in graph theory, *DIFFERENTIAL equations, *MATHEMATICAL inequalities, *MATHEMATICAL analysis
Abstract

In this paper we prove that the derivative process of a rough differential equation driven by a Brownian rough path has finite Lr-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. [ABSTRACT FROM AUTHOR]

Published
2012
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