Integration with respect to fractal functions and stochastic calculus. I
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The classical Lebesgue–Stieltjes integral ∫ b a fdg of real or complex-valued functions on a finite interval (a,b) is extended to a large class of integrands f and integrators g of unbounded variation. The key is to use composition formulas and integration-by-part rules for fractional integrals and Weyl derivatives. In the special case of Hölder continuous functions f and g of summed order greater than 1 convergence of the corresponding Riemann–Stieltjes sums is proved.
The results are applied to stochastic integrals where g is replaced by the Wiener process and f by adapted as well as anticipating random functions. In the anticipating case we work within Slobodeckij spaces and introduce a stochastic integral for which the classical Itô formula remains valid. Moreover, this approach enables us to derive calculation rules for pathwise defined stochastic integrals with respect to fractional Brownian motion.
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