Extensions of the sewing lemma with applications

Pavel Yaskov

Stochastic Processes and their Applications, 2018, vol. 128, issue 11, 3940-3965

Abstract: We give several extensions of the sewing lemma of Feyel and de La Pradelle and show how these results generalize Young’s integration theory in a simple and natural way. For illustrative purposes, we apply the lemma to integrals involving discontinuous functions of a fractional Brownian motion with the Hurst index H>1∕2.

Keywords: The sewing lemma; Riemann–Stieltjes integrals; Stochastic integrals; Fractional Brownian motion (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:128:y:2018:i:11:p:3940-3965

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DOI: 10.1016/j.spa.2017.09.023

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