Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes
Abstract
In this article we study the existence of pathwise Stieltjes integrals of the form for nonrandom, possibly discontinuous, evaluation functions and H\"older continuous random processes and . We discuss a notion of sufficient variability for the process which ensures that the paths of the composite process 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 .
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