Stochastic integration of processes with finite generalized variations. I (Q1897154)

Let \(X\) be a process with Doléans function \(\lambda_X (A \times (s,t)) = \int_A (x(t, \omega) - x(s, \omega)) dP\). Sufficient conditions are given for the existence of the stochastic integral \(\int^1_0 XdY\) of two processes \(X\) and \(Y\), if \(\lambda_X\) has finite generalized variation. In this way results of Young on integration of functions with finite higher variation are extended to the stochastic integral. The results are compared to ordinary stochastic integration.