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research article

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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Type
research article
DOI
10.1017/fms.2024.32
Web of Science ID

WOS:001199738500001

Author(s)
Matsuda, Toyomu  
Perkowski, Nicolas
Date Issued

2024-04-11

Publisher

Cambridge Univ Press

Published in
Forum Of Mathematics Sigma
Volume

12

Start page

e52

Subjects

Physical Sciences

•

60G22

•

60H05

•

60H10

•

60J55

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STOAN  
FunderGrant Number

German Science Foundation (DFG)

IRTG 2544

DFG

Available on Infoscience
April 17, 2024
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/207387
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