Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands

2024/08/05 by Ralchenko, Kostiantyn, Shokrollahi, Foad, Sottinen, Tommi
#60G15 #60G22 #62F12 #62M09 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2408.02449

Abstract

We establish the rate of convergence in the L¹-norm for equidistant approximations of stochastic integrals with discontinuous integrands driven by multifractional Brownian motion. Our findings extend the known results for the case when the driver is a fractional Brownian motion.

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