Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands

Kostiantyn Ralchenko (), Foad Shokrollahi () and Tommi Sottinen ()
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Kostiantyn Ralchenko: University of Vaasa
Foad Shokrollahi: University of Vaasa
Tommi Sottinen: University of Vaasa

Journal of Theoretical Probability, 2025, vol. 38, issue 3, 1-26

Abstract: Abstract We establish the rate of convergence in the $$L^1$$ 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.

Keywords: Approximation of stochastic integral; Discontinuous integrands; Rate of convergence; Multifractional Brownian motions; 60G15; 60G22; 62F12; 62M09 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10959-025-01422-z

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