research article
An extension of the stochastic sewing lemma and applications to fractional stochastic calculus
April 11, 2024
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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