Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion (Q5927964)

Methods of renormalization group theory are used to find an expression for the Stieltjes integral of a \(\beta\)-Hölder function with respect to a \(\gamma\)-Hölder function, \(\beta+\gamma >1\), in terms of a limit of Riemann sums. The author then shows a change of variable formula for Hölder continuous functions, which is applied to fractional Brownian motion with Hurst parameter \(H>1/2\) (with vanishing quadratic variation). An existence and uniqueness theorem for nonlinear stochastic differential equations with time-dependent coefficients is also obtained in the case \(H>1/2\). Some additional results are given, in particular tails estimates for the law of the maximum over time of indefinite stochastic integrals with respect to fractional Brownian motion with \(H>1/2\). Related results have been obtained by other authors, but mainly (in the case of stochastic differential equations) for time-independent coefficients.