Stochastic Gronwall inequality is a generalization of Gronwall's inequality and has been used for proving the well-posedness of path-dependent stochastic differential equations with local monotonicity and coercivity assumption with respect to supremum norm.[1][2]
Statement
Let
be a non-negative right-continuous
-adapted process. Assume that
is a deterministic non-decreasing càdlàg function with
and let
be a non-decreasing and càdlàg adapted process starting from
. Further, let
be an
- local martingale with
and càdlàg paths.
Assume that for all
,
where
.
and define
. Then the following estimates hold for
and
:[1][2]
- If
and
is predictable, then
; - If
and
has no negative jumps, then
; - If
then
;
Proof
It has been proven by Lenglart's inequality.[1]
References
- ^ a b c Mehri, Sima; Scheutzow, Michael (2021). "A stochastic Gronwall lemma and well-posedness of path-dependent SDEs driven by martingale noise". Latin Americal Journal of Probability and Mathematical Statistics. 18: 193–209. doi:10.30757/ALEA.v18-09. S2CID 201660248.
- ^ a b von Renesse, Max; Scheutzow, Michael (2010). "Existence and uniqueness of solutions of stochastic functional differential equations". Random Oper. Stoch. Equ. 18 (3): 267–284. arXiv:0812.1726. doi:10.1515/rose.2010.015. S2CID 18595968.