Abstract: We introduce a stochastic version of Gubinelli's sewing lemma, providing a sufficient condition for the convergence in moments of some random Riemann sums. Compared with the deterministic sewing lemma, adaptiveness is required and the regularity restriction is improved by a half. The limiting process exhibits a Doob-Meyer-type decomposition. Relations with It^o calculus are established. To illustrate further potential applications, we use the stochastic sewing lemma in studying stochastic differential equations driven by Brownian motions or fractional Brownian motions with irregulardrifts.
In this paper, the author introduced a stochastic version of Gubinelli's sewing lemma and established a sufficient condition for the convergence in moments of some random Riemann sums. Based on this, the regularity restriction is improved by a half. Moreover, the author showed a Doob-Meyertype decomposition through the limiting process and provided relations with Itô calculus. Finally, the author investigated stochastic differential equations driven by Brownian motions or fractional Brownian motions with irregular drifts using the stochastic sewing lemma.
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