A STOCHASTIC GRONWALL LEMMA
2013 ◽
Vol 16
(02)
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pp. 1350019
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Keyword(s):
We prove a stochastic Gronwall lemma of the following type: if Z is an adapted non-negative continuous process which satisfies a linear integral inequality with an added continuous local martingale M and a process H on the right-hand side, then for any p ∈ (0, 1) the pth moment of the supremum of Z is bounded by a constant κp (which does not depend on M) times the pth moment of the supremum of H. Our main tool is a martingale inequality which is due to D. Burkholder. We provide an alternative simple proof of the martingale inequality which provides an explicit numerical value for the constant cp appearing in the inequality which is at most four times as large as the optimal constant.
2018 ◽
Vol 12
(2)
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2019 ◽
Vol 22
(01)
◽
pp. 1950007
1920 ◽
Vol 97
(686)
◽
pp. 401-413
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Keyword(s):
1992 ◽
Vol 111
(3)
◽
pp. 599-608
◽
Keyword(s):
Keyword(s):
2020 ◽
Vol 1
(1)
◽
pp. 31
Keyword(s):