Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes

Abstract

In this article we study the existence of pathwise Stieltjes integrals of the form $\int f(X_t)d{Y}_t$ 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 $\int f(X_t)d{X}_t$.

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

References in corpus (1)

• Properties and numerical evaluation of the Rosenblatt distribution

Cited by in corpus (3)

• Variability of paths and differential equations with $BV$-coefficients
• Sobolev regularity of occupation measures and paths, variability and compositions
• Stochastic Differential Equations with Discontinuous Diffusions