Extension of a stochastic Gronwall lemma

DOI10.4064/ba190524-7-5zbMath1459.60051OpenAlexW3032634704WikidataQ125021624 ScholiaQ125021624MaRDI QIDQ5147007

Cloud Makasu

Publication date: 2 February 2021

Published in: Bulletin of the Polish Academy of Sciences Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/ba190524-7-5

zbMATH Keywords

Gronwall lemmaBurkholder martingale inequality

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic integrals (60H05)

Related Items (2)

Sharp convex generalizations of stochastic Gronwall inequalities ⋮ Stochastic version of Henry type Gronwall’s inequality

Cites Work

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• An inequality for processes which satisfy Kolmogorov's continuity criterion. Application to continuous martingales
• One-sided maximal functions and H\(^p\)
• Sharp maximal \(L^{p}\)-estimates for martingales
• A STOCHASTIC GRONWALL LEMMA
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part II)

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