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An extension of the stochastic sewing lemma and applications to fractional stochastic calculus

Matsuda, Toyomu  
•
Perkowski, Nicolas
April 11, 2024
Forum Of Mathematics Sigma

We give an extension of Le's stochastic sewing lemma. The stochastic sewing lemma proves convergence in $L_m$ of Riemann type sums $\sum {[s,t] \in \pi } A{s,t}$ for an adapted two-parameter stochastic process A, under certain conditions on the moments of $A_{s,t}$ and of conditional expectations of $A_{s,t}$ given $\mathcal F_s$ . Our extension replaces the conditional expectation given $\mathcal F_s$ by that given $\mathcal F_v$ for $v

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