An extension of the stochastic sewing lemma and applications to fractional stochastic calculus

Abstract

We give an extension of Lê’s stochastic sewing lemma. The stochastic sewing lemma proves convergence in Lm of Riemann type sums ∑[s,t]∈πAs,t for an adapted two-parameter stochastic process A, under certain conditions on the moments of As,t and of conditional expectations of As,t given Fs. Our extension replaces the conditional expectation given Fs by that given Fv for v<s, and it allows to make use of asymptotic decorrelation properties between As,t and Fv by including a singularity in (s−v). We provide three applications for which Lê’s stochastic sewing lemma seems to be insufficient. The first is to prove the convergence of Itô or Stratonovich approximations of stochastic integrals along fractional Brownian motions under low regularity assumptions. The second is to obtain new representations of local times of fractional Brownian motions via discretization. The third is to improve a regularity assumption on the diffusion coefficient of a stochastic differential equation driven by a fractional Brownian motion for pathwise uniqueness and strong existence.