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Thomas Kojar
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We will follow the Lemma 8.10. (Rough Gronwall) and Proposition 8.12 from "a course in rough paths" but modify them for this particular setting of studying

$$Y_{t}=Y_{0}+\int^{t}_{0} Y dX,$$

for $Y\in C^{\alpha},X\in C^{\beta}$ where $\alpha+\beta>1$ but $\beta<\frac{1}{2}$ and $\alpha>\frac{1}{2}$.

The Lemma 8.10. (Rough Gronwall) comes verbatim with no changes

Assume $Y\in C([0,1])$, $r<1$ and $$|Y_{s,t}|\leq M ||Y||_{\infty;[s,t]}|t-s|^{r},(*)$$ for $0\leq s< t\leq 1$. Then there exists $c=c_{r}<\infty$ such that $$||Y||_{\infty;[0,1]}\leq cexp(cM^{1/r})|Y_{0}|.$$

So it suffices to prove (*). From a slight variation of the proof of Proposition 8.12 we have the bound

$$|Y_{s,t}|=|\int_{s}^{t}Y_{r}dX_{r}|\leq c||Y||_{\infty;[s,t]}||X||_{\beta;[s,t]}|t-s|^{\beta}\leq c||Y||_{\infty;[s,t]}|t-s|^{\beta},$$ where we used that $\beta<\frac{1}{2}\leq \alpha$ and so $||Y||_{\alpha;[s,t]}\leq ||Y||_{\beta;[s,t]}$. So the result follows from here.

Thomas Kojar
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