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Extensions of the sewing lemma with applications

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  • Yaskov, Pavel

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.

Suggested Citation

  • Yaskov, Pavel, 2018. "Extensions of the sewing lemma with applications," Stochastic Processes and their Applications, Elsevier, vol. 128(11), pages 3940-3965.
    • Handle: RePEc:eee:spapps:v:128:y:2018:i:11:p:3940-3965
    DOI: 10.1016/j.spa.2017.09.023
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    References listed on IDEAS

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    1. Mishura, Yuliya & Shevchenko, Georgiy & Valkeila, Esko, 2013. "Random variables as pathwise integrals with respect to fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2353-2369.
    2. Slominski, Leszek & Ziemkiewicz, Bartosz, 2005. "Inequalities for the norms of integrals with respect to a fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 73(1), pages 79-90, June.
    3. Coutin, Laure & Nualart, David & Tudor, Ciprian A., 2001. "Tanaka formula for the fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 94(2), pages 301-315, August.
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    Cited by:

    1. Yaskov, Pavel, 2019. "On pathwise Riemann–Stieltjes integrals," Statistics & Probability Letters, Elsevier, vol. 150(C), pages 101-107.

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