The existence of Riemann-Stieltjes integrals with applications to fractional Brownian motion

Abstract

We derive general sufficient conditions for the existence of Riemann-Stieltjes integrals ${\int }_a^{b}YdX$. Our results extend the classical conditions of L.C.Young and improve some recent results that deal with integrals involving a fractional Brownian motion with the Hurst index $H>1/2$.

References in corpus (3)

• Random variables as pathwise integrals with respect to fractional Brownian motion
• Rate of convergence for discretization of integrals with respect to Fractional Brownian motion
• Aspects of Stochastic Integration with Respect to Processes of Unbounded p-variation

Cited by in corpus (1)

• A stochastic sewing lemma and applications