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arXiv · 1411.5189

Tail estimates for Markovian rough paths

Thomas Cass·Marcel Ogrodnik
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Abstract

We work in the context of Markovian rough paths associated to a class of uniformly subelliptic Dirichlet forms [25] and prove a better-than-exponential tail estimate for the accummulated local p-variation functional, which has been introduced and studied in [17]. We comment on the significance of these estimates to a range of currently-studied problems, including the recent results of Chevyrev and Lyons in [18].

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Thomas Cass, Marcel Ogrodnik. 2014-11-19. Tail estimates for Markovian rough paths. https://arxiv.org/abs/1411.5189

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