Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes

DOI10.1016/J.SPA.2018.08.002MaRDI QIDQ2274279zbMATH OpenOpenAlexFDO

Authors Zhe Chen, Lasse Leskelä, Lauri Viitasaari

Publication date 19 September 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.00498

zbMATH Keywords

bounded \(p\)-variationcomposite stochastic processfractional calculusfractional Sobolev spacefractional Sobolev-Slobodeckij spaceGagliardo-Slobodeckij seminormgeneralised Stieltjes integralRiemann-Liouville integral

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) General theory of stochastic processes (60G07) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Abstract: In this article we study the existence of pathwise Stieltjes integrals of the form $intf(X_t),d{Y}_t$ for nonrandom, possibly discontinuous, evaluation functions $f$ and H"older continuous random processes $X$ and $Y$. We discuss a notion of sufficient variability for the process $X$ which ensures that the paths of the composite process $tmapstof(X_t)$ are almost surely regular enough to be integrable. We show that the pathwise integral can be defined as a limit of Riemann-Stieltjes sums for a large class of discontinuous evaluation functions of locally finite variation, and provide new estimates on the accuracy of numerical approximations of such integrals, together with a change of variables formula for integrals of the form $intf(X_t),d{X}_t$.

Recommendations

• On pathwise Riemann-Stieltjes integrals
• Quasi-integrals and stochastic integration along sample paths
• On pathwise stochastic integration with respect to semimartingales
• scientific article; zbMATH DE number 2169702
• Integration with respect to fractal functions and stochastic calculus. I

Cites work

• A course on rough paths. With an introduction to regularity structures
• Differential equations driven by fractional Brownian motion
• Differential equations driven by rough signals
• Estimates for the solution to stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H (13, 12)
• Fractional processes and fractional-order signal processing. Techniques and applications
• Fractional Splines and Wavelets
• Fractional {O}rnstein-{U}hlenbeck processes
• Fractional-order systems and controls. Fundamentals and applications
• Hitchhiker's guide to the fractional Sobolev spaces
• How rich is the class of multifractional Brownian motions?
• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 53999 (Why is no real title available?)
• scientific article; zbMATH DE number 1256059 (Why is no real title available?)
• scientific article; zbMATH DE number 1488132 (Why is no real title available?)
• Integral representations of some functionals of fractional Brownian motion
• Integration with respect to fractal functions and stochastic calculus. I
• Integration with respect to fractal functions and stochastic calculus. II
• Introduction to stochastic calculus for finance. A new didactic approach.
• Iterating Brownian motions, ad libitum
• Necessary and sufficient conditions for Hölder continuity of Gaussian processes
• On hedging European options in geometric fractional Brownian motion market model
• On irregular functionals of SDEs and the Euler scheme
• On probability laws of solutions to differential systems driven by a fractional Brownian motion
• On weak Brownian motions of arbitrary order
• Probability tails of Gaussian extrema
• Processes iterated ad libitum
• Properties and numerical evaluation of the Rosenblatt distribution
• Rate of convergence for discretization of integrals with respect to fractional Brownian motion
• Stochastic finance. An introduction in discrete time
• Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem

Cited in

(12)

• Exponentielle stochastique et intégrale multiplicative discontinues. (Discontinuous stochastic exponential and multiplicative integral)
• On a certain property of paths of extended stochastic integrals
• Sobolev regularity of occupation measures and paths, variability and compositions
• On pathwise Riemann-Stieltjes integrals
• Purely pathwise probability-free Itô integral
• Young-Stieltjes integrals with respect to Volterra covariance functions
• scientific article; zbMATH DE number 5020098 (Why is no real title available?)
• Stochastic differential equations with discontinuous diffusion coefficients
• Forward integration of bounded variation coefficients with respect to Hölder continuous processes
• Variability of paths and differential equations with \(\mathrm{BV}\)-coefficients
• On sharp rate of convergence for discretization of integrals driven by fractional Brownian motions and related processes with discontinuous integrands
• Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands

This page was built for publication: Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2274279)