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arXiv · 2408.02449

Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands

Kostiantyn Ralchenko·Foad Shokrollahi·Tommi Sottinen
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Abstract

We establish the rate of convergence in the $L^1$-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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Kostiantyn Ralchenko, Foad Shokrollahi, Tommi Sottinen. 2024-08-05. Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands. https://arxiv.org/abs/2408.02449

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