Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands

Abstract

We establish the rate of convergence in the $L^1$-norm for equidistant approximations of stochastic integrals with discontinuous integrands driven by multifractional Brownian motion. Our findings extend the known results for the case when the driver is a fractional Brownian motion.

25 pages