On pathwise Riemann-Stieltjes integrals

DOI10.1016/j.spl.2019.02.005zbMath1433.60027OpenAlexW2917528786WikidataQ128312276 ScholiaQ128312276MaRDI QIDQ2322608

Pavel Yaskov

Publication date: 5 September 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2019.02.005

zbMATH Keywords

stochastic integralsRiemann-Stieltjes integralssewing lemma

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) General theory of stochastic processes (60G07) Stochastic integrals (60H05)

Related Items (4)

Sobolev regularity of occupation measures and paths, variability and compositions ⋮ Variability of paths and differential equations with \(\mathrm{BV}\)-coefficients ⋮ Integration of nonsmooth 2-forms: from Young to Itô and Stratonovich ⋮ On sharp rate of convergence for discretization of integrals driven by fractional Brownian motions and related processes with discontinuous integrands

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• Differential equations driven by rough paths with jumps
• Rate of convergence for discretization of integrals with respect to fractional Brownian motion
• On hedging European options in geometric fractional Brownian motion market model
• A course on rough paths. With an introduction to regularity structures

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