Sharp convex generalizations of stochastic Gronwall inequalities

DOI10.1016/j.jde.2024.02.018arXiv2112.05047OpenAlexW4391977723MaRDI QIDQ6124485

Sarah Geiss

Publication date: 27 March 2024

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.05047

zbMATH Keywords

sharp constantsSnell envelopestochastic Gronwall inequalityLenglart's domination inequalityexponential moments of path-dependent SDEsstochastic Bihari-LaSalle inequality

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Martingales with continuous parameter (60G44) Stochastic functional-differential equations (34K50)

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