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arxiv: 1612.00498 · v2 · submitted 2016-12-01 · 🧮 math.PR

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Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes

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keywords integralspathwisediscontinuousevaluationformfunctionsprocessprocesses
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In this article we study the existence of pathwise Stieltjes integrals of the form $\int f(X_t)\, dY_t$ for nonrandom, possibly discontinuous, evaluation functions $f$ and H\"older 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 $\int f(X_t) \, dX_t$.

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