A MOMENT ESTIMATE OF THE DERIVATIVE PROCESS IN ROUGH PATH THEORY

作者：Inahama Yuzuru^*

来源：Proceedings of the American Mathematical Society, 2012, 140(6): 2183-2191.

DOI：10.1090/S0002-9939-2011-11051-7

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 %26gt;= 1. This kind of problem is easy in the usual SDE theory, thanks to Burkholder-Davis-Gundy%26apos;s inequality. In the context of rough path theory, however, it does not seem so obvious.

• 出版日期2012-6