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 \(p\)-variationfractional calculusfractional Sobolev spaceRiemann-Liouville integralcomposite stochastic processfractional Sobolev-Slobodeckij spaceGagliardo-Slobodeckij seminormgeneralised Stieltjes integral

Mathematics Subject Classification ID

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

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 $intf(X_t),d{X}_t$.

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