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Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands

Author

Listed:
  • Kostiantyn Ralchenko

    (University of Vaasa
    Taras Shevchenko National University of Kyiv)

  • Foad Shokrollahi

    (University of Vaasa)

  • Tommi Sottinen

    (University of Vaasa)

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.

Suggested Citation

  • Kostiantyn Ralchenko & Foad Shokrollahi & Tommi Sottinen, 2025. "Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands," Journal of Theoretical Probability, Springer, vol. 38(3), pages 1-26, September.
    • Handle: RePEc:spr:jotpro:v:38:y:2025:i:3:d:10.1007_s10959-025-01422-z
    DOI: 10.1007/s10959-025-01422-z
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