Integrability and tail estimates for Gaussian rough differential equations
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Publication:359700
DOI10.1214/12-AOP821zbMATH Open1278.60091arXiv1104.1813MaRDI QIDQ359700FDOQ359700
Authors: Thomas Cass, Christian Litterer, Terence J. Lyons 
Publication date: 22 August 2013
Published in: The Annals of Probability (Search for Journal in Brave)
Abstract: We derive explicit tail-estimates for the Jacobian of the solution flow for stochastic differential equations driven by Gaussian rough paths. In particular, we deduce that the Jacobian has finite moments of all order for a wide class of Gaussian process including fractional Brownian motion with Hurst parameter H>1/4. We remark on the relevance of such estimates to a number of significant open problems.
Full work available at URL: https://arxiv.org/abs/1104.1813
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