Integrability Estimates for Gaussian Rough Differential Equations

By T. Cass, Christian Litterer, Terry Lyons. 2011

98 citations recorded by the source corpus.

We derive explicit tail-estimates for the Jacobian of the solution flow of 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.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/043caf56a00e20081e2dc2f6bf900bcdfa8631c0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Ilya Chevyrev
2. Terry Lyons
3. Peter K. Friz
4. Massimiliano Gubinelli
5. David Nualart
6. Nicolas Victoir
7. Samy Tindel
8. Antoine Lejay

In Mathematical Physics

1. Ilya Chevyrev
2. Terry Lyons
3. Peter K. Friz
4. Antoine Lejay
5. Benjamin Graham

Citations in the corpus

• Characteristic functions of measures on geometric rough paths (2013, methodology): “We demonstrate applications of these results to the Lévy–Khintchine formula derived in [14] and to families of Gaussian and Markovian rough paths studied in [4] and [5].”