Tail Estimates for Markovian Rough Paths

Stochastic Analysis Seminar Series

Abstract: We work in the context of Markovian rough paths associated to a class of uniformly subelliptic Dirichlet forms and prove an almost-Gaussian tail-estimate for the accumulated local p-variation functional, which has been introduced and studied by Cass, Litterer and Lyons. We comment on the significance of these estimates to a range of currently-studied problems, including the recent results of Ni Hao, and Chevyrev and Lyons.



Marcel Ogrodnik (Imperial College London)

Monday, May 11, 2015 - 15:45
to 16:45