A note on the stochastic version of the Gronwall lemma
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Date
2022
Authors
Journal Title
Journal ISSN
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Publisher
Taylor & Francis Group
Abstract
We prove a stochastic version of the Gronwall lemma assuming that the underlying martingale has a terminal random value in Lp, where
1 p < 1: The proof of the present result is mainly based on a sharp martingale inequality of the Doob-type.
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Keywords
Burkholder inequalities, Doob martingale, inequalities
Citation
Makasu, C. (2022). A note on the stochastic version of the Gronwall lemma. Stochastic analysis and applications, 1-4. https://doi.org/10.1080/07362994.2022.2068579