Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes

In this article we study the existence of pathwise Stieltjes integrals of the form $\int f(X_t)d{Y}_t$ for nonrandom, possibly discontinuous, evaluation functions $f$ and H"older continuous random processes $X$ and $Y$. We discuss a notion of sufficient variability for the process $X$ which ensures that the paths of the composite process $t\mapsto f(X_t)$ are almost surely regular enough to be integrable. We show that the pathwise integral can be defined as a limit of Riemann-Stieltjes sums for a large class of discontinuous evaluation functions of locally finite variation, and provide new estimates on the accuracy of numerical approximations of such integrals, together with a change of variables formula for integrals of the form $\int f(X_t)d{X}_t$.