Stochastic integral inequalities with applications

DOI10.7153/mia-13-48zbMath1193.60085OpenAlexW2166315153MaRDI QIDQ3570023

Meng Wu, Nan-Jing Huang

Publication date: 23 June 2010

Published in: Mathematical Inequalities & Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7153/mia-13-48

zbMATH Keywords

stochastic differential equationItô integraldiffusion processstochastic integral inequality

Mathematics Subject Classification ID

Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Inequalities involving derivatives and differential and integral operators (26D10) Other analytical inequalities (26D20) Stochastic integral equations (60H20)

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A powered Gronwall-type inequality and applications to stochastic differential equations ⋮ A stochastic Gronwall inequality in random time horizon and its application to BSDE

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