Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands

Abstract We establish the rate of convergence in the $$L^1$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:msup> <mml:mi>L</mml:mi> <mml:mn>1</mml:mn> </mml:msup> </mml:math> -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.