Aspects of Stochastic Integration with Respect to Processes of Unbounded p-variation

MaRDI QIDQ6253364zbMATH OpenFDO

Authors Zhe Chen, Lauri Viitasaari

Publication date 22 July 2014

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Stochastic integrals (60H05)

Abstract: This paper deals with stochastic integrals of form $in{t}_0^{T}f(X_u)d{Y}_u$ in a case where the function $f$ has discontinuities, and hence the process $f(X)$ is usually of unbounded $p$-variation for every $pgeq1$. Consequently, integration theory introduced by Young or rough path theory introduced by Lyons cannot be applied directly. In this paper we prove the existence of such integrals in a pathwise sense provided that $X$ and $Y$ have suitably regular paths together with some minor additional assumptions. In many cases of interest, our results extend the celebrated results by Young.

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