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arXiv · 1612.00498

Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes

Zhe Chen·Lasse Leskelä·Lauri Viitasaari
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Abstract

In this article we study the existence of pathwise Stieltjes integrals of the form $\int f(X_t)\, dY_t$ for nonrandom, possibly discontinuous, evaluation functions $f$ and Hölder 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 $t \mapsto f(X_t)$ 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 $\int f(X_t) \, dX_t$.

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Zhe Chen, Lasse Leskelä, Lauri Viitasaari. 2018-08-06. Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes. https://doi.org/10.1016/j.spa.2018.08.002

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