English

Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes

Probability 2018-08-16 v2

Abstract

In this article we study the existence of pathwise Stieltjes integrals of the form f(Xt)dYt\int f(X_t)\, dY_t for nonrandom, possibly discontinuous, evaluation functions ff and H\"older continuous random processes XX and YY. We discuss a notion of sufficient variability for the process XX which ensures that the paths of the composite process tf(Xt)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 f(Xt)dXt\int f(X_t) \, dX_t.

Keywords

Cite

@article{arxiv.1612.00498,
  title  = {Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes},
  author = {Zhe Chen and Lasse Leskelä and Lauri Viitasaari},
  journal= {arXiv preprint arXiv:1612.00498},
  year   = {2018}
}

Comments

The 2nd version contains lots of new examples illustrating applications of the main results to various stochastic processes

R2 v1 2026-06-22T17:11:15.488Z