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arXiv · 1511.02715

The existence of Riemann-Stieltjes integrals with applications to fractional Brownian motion

Pavel Yaskov
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Abstract

We derive general sufficient conditions for the existence of Riemann-Stieltjes integrals $\int_a^b Yd X$. Our results extend the classical conditions of L.C.Young and improve some recent results that deal with integrals involving a fractional Brownian motion with the Hurst index $H>1/2$.

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Pavel Yaskov. 2015-11-09. The existence of Riemann-Stieltjes integrals with applications to fractional Brownian motion. https://doi.org/10.1016/j.spa.2017.09.023

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