Tail estimates for Markovian rough paths

DOI10.1214/16-AOP1117MaRDI QIDQ2406567

Marcel Ogrodnik, Thomas Cass

Publication date: 5 October 2017

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

Full work available at URL: https://arxiv.org/abs/1411.5189

zbMATH Keywords

Markov processDirichlet formrough path theorytail estimates

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Generalized stochastic processes (60G20) Numerical solutions to stochastic differential and integral equations (65C30) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Markov processes (60Jxx)

Related Items (6)

A support and density theorem for Markovian rough paths ⋮ Random walks and Lévy processes as rough paths ⋮ Solving mean field rough differential equations ⋮ Non-explosion criteria for rough differential equations driven by unbounded vector fields ⋮ Canonical RDEs and general semimartingales as rough paths ⋮ An isomorphism between branched and geometric rough paths

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