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A moment estimate of the derivative process in rough path theory
Author:
Yuzuru Inahama
Journal:
Proc. Amer. Math. Soc. 140 (2012), 2183-2191
MSC (2010):
Primary 60H10; Secondary 60G99
Posted:
October 11, 2011
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Abstract: In this paper we prove that the derivative process of a rough differential equation driven by a Brownian rough path has finite  -moment for any  . 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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Additional Information
Yuzuru Inahama
Affiliation:
Graduate School of Mathematics, Nagoya University, Furocho, Chikusa-ku, Nagoya 464-8602, Japan
Email:
inahama@math.nagoya-u.ac.jp
DOI:
http://dx.doi.org/10.1090/S0002-9939-2011-11051-7
PII:
S 0002-9939(2011)11051-7
Received by editor(s):
October 1, 2010
Received by editor(s) in revised form:
February 1, 2011
Posted:
October 11, 2011
Communicated by:
Richard C. Bradley
Article copyright:
© Copyright 2011 American Mathematical Society
The copyright for this article reverts to public domain after
28 years from publication.
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