A moment estimate of the derivative process in rough path theory
classification
🧮 math.PR
keywords
roughpaththeoryderivativemomentprocessbrownianburkholder-davis-gundy
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In this paper we prove the derivative process of a rough differential equation driven by Brownian rough path has finite $L^r$-moment for any $r /ge 1$. Thanks to Burkholder-Davis-Gundy's inequality, this kind of problem is easy in the usual SDE theory. In the context of rough path theory, however, it does not seem so obvious.
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