Makasu, Cloud2022-07-182022-07-182022Makasu, C. (2022). A note on the stochastic version of the Gronwall lemma. Stochastic analysis and applications, 1-4. https://doi.org/10.1080/07362994.2022.2068579https://doi.org/10.1080/07362994.2022.2068579http://hdl.handle.net/10566/7603We 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.Burkholder inequalitiesDoob martingaleinequalitiesArticle