Extensions of the sewing lemma with applications |
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Authors: | Pavel Yaskov |
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Institution: | Steklov Mathematical Institute of Russian Academy of Sciences, Moscow, Russia |
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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 |
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Keywords: | The sewing lemma Riemann–Stieltjes integrals Stochastic integrals Fractional Brownian motion |
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