A Moment estimate of the derivative process in rough path theory

Yuzuru Inahama

doi:10.1090/S0002-9939-2011-11051-7

A Moment estimate of the derivative process in rough path theory

Yuzuru Inahama

研究成果: ジャーナルへの寄稿 › 学術誌 › 査読

3 被引用数 (Scopus)

抄録

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.

本文言語	英語
ページ（範囲）	2183-2191
ページ数	9
ジャーナル	Proceedings of the American Mathematical Society
巻	140
号	6
DOI	https://doi.org/10.1090/S0002-9939-2011-11051-7
出版ステータス	出版済み - 2012
外部発表	はい

!!!All Science Journal Classification (ASJC) codes

数学一般
応用数学

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10.1090/S0002-9939-2011-11051-7

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AB - 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.

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DO - 10.1090/S0002-9939-2011-11051-7

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A Moment estimate of the derivative process in rough path theory

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!!!All Science Journal Classification (ASJC) codes

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