A Stochastic Gronwall Lemma and Well-Posedness of Path-Dependent SDEs Driven by Martingale Noise

zbMath1468.60074arXiv1908.10646MaRDI QIDQ5144719

Sima Mehri, Michael K. R. Scheutzow

Publication date: 19 January 2021

Full work available at URL: https://arxiv.org/abs/1908.10646

zbMATH Keywords

monotone coefficientsmartingale inequalityfunctional stochastic differential equationsstochastic Gronwall lemmapath-dependent stochastic differential equationsLenglart inequality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic functional-differential equations (34K50) Random measures (60G57) Numerical methods for functional-differential equations (65L03)

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