An extension of the stochastic sewing lemma and applications to fractional stochastic calculus

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Abstract: We give an extension of L^e's stochastic sewing lemma [Electron. J. Probab. 25: 1 - 55, 2020]. The stochastic sewing lemma proves convergence in

L_{m}

of Riemann type sums

s u m_{[s, t] i n p i} A_{s, t}

for an adapted two-parameter stochastic process

A

, under certain conditions on the moments of

A_{s, t}

and of conditional expectations of

A_{s, t}

given

m a t h c a l F_{s}

. Our extension replaces the conditional expectation given

m a t h c a l F_{s}

by that given

m a t h c a l F_{v}

for

v < s

, and it allows to make use of asymptotic decorrelation properties between

A_{s, t}

and

m a t h c a l F_{v}

by including a singularity in

(s - v)

. We provide three applications for which L^e's stochastic sewing lemma seems to be insufficient.The first is to prove the convergence of It^o or Stratonovich approximations of stochastic integrals along fractional Brownian motions under low regularity assumptions. The second is to obtain new representations of local times of fractional Brownian motions via discretization. The third is to improve a regularity assumption on the diffusion coefficient of a stochastic differential equation driven by a fractional Brownian motion for pathwise uniqueness and strong existence.

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