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 |
|---|---|
| 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
- General Mathematics
- Applied Mathematics
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