Work

Tail estimates for Markovian rough paths

Year: 2014

Type: preprint

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].

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1411.5189

Authors: Cass, Thomas, Ogrodnik, Marcel

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Engineering and Physical Sciences Research Council

Award: G5140945012

OpenAlex ID: W2949392103

Cites: 26

Cited by:

Related to: 20