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On pathwise Riemann–Stieltjes integrals

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  • Yaskov, Pavel

Abstract

For Hölder continuous random processes X,Y and possibly discontinuous functions F of locally bounded variation, we obtain existence and approximation results for Riemann–Stieltjes integrals of the form ∫F(X)dY.

Suggested Citation

  • Yaskov, Pavel, 2019. "On pathwise Riemann–Stieltjes integrals," Statistics & Probability Letters, Elsevier, vol. 150(C), pages 101-107.
    • Handle: RePEc:eee:stapro:v:150:y:2019:i:c:p:101-107
    DOI: 10.1016/j.spl.2019.02.005
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    References listed on IDEAS

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    1. Rainer Avikainen, 2009. "On irregular functionals of SDEs and the Euler scheme," Finance and Stochastics, Springer, vol. 13(3), pages 381-401, September.
    2. Yaskov, Pavel, 2018. "Extensions of the sewing lemma with applications," Stochastic Processes and their Applications, Elsevier, vol. 128(11), pages 3940-3965.
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