Integrability and tail estimates for Gaussian rough differential equations

DOI10.1214/12-AOP821zbMath1278.60091arXiv1104.1813MaRDI QIDQ359700

Thomas Cass, Christian Litterer, Terence J. Lyons

Publication date: 22 August 2013

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.1813

zbMATH Keywords

Gaussian processrough path analysis

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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