A discrete stochastic Gronwall lemma

DOI10.1016/J.MATCOM.2016.07.002zbMATH Open1482.60093arXiv1601.07503OpenAlexW2265242083WikidataQ124846394 ScholiaQ124846394MaRDI QIDQ1996944FDOQ1996944

Authors: Raphael Kruse, Michael Scheutzow 

Publication date: 1 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Abstract: We derive a discrete version of the stochastic Gronwall Lemma found in [Scheutzow, IDAQP, 2013]. The proof is based on a corresponding deterministic version of the discrete Gronwall Lemma and an inequality bounding the supremum in terms of the infimum for time discrete martingales. As an application the proof of an a priori estimate for the backward Euler-Maruyama method is included.

Full work available at URL: https://arxiv.org/abs/1601.07503

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zbMATH Keywords

a priori estimatebackward Euler-Maruyama methodmartingale inequalityGronwall lemma

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Inequalities for sums, series and integrals (26D15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

• Title not available (Why is that?)
• The stability of solutions of linear differential equations
• Sharp maximal \(L^{p}\)-estimates for martingales
• A stochastic Gronwall lemma
• More Generalised Discrete Gronwall Inequalities

Cited In (15)

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• Extension of a stochastic Gronwall lemma
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• Solvability and stability of switched discrete-time linear singular systems under Lipschitz perturbations
• A note on the stochastic version of the Gronwall lemma
• Ergodicity of stochastic differential equations with jumps and singular coefficients
• Discrete fractional stochastic Grönwall inequalities arising in the numerical analysis of multi-term fractional order stochastic differential equations
• A numerical solution for a class of time fractional diffusion equations with delay
• Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients
• A stochastic Gronwall lemma and well-posedness of path-dependent SDEs driven by martingale noise
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• Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations
• On a discrete fractional stochastic Grönwall inequality and its application in the numerical analysis of stochastic FDEs involving a martingale
• Stochastic version of Henry type Gronwall’s inequality
• Dynamical behavior of recurrent neural networks with different external inputs

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