A discrete stochastic Gronwall lemma

DOI10.1016/J.MATCOM.2016.07.002MaRDI QIDQ1996944zbMATH OpenOpenAlexWikidataFDO

Authors Raphael Kruse, Michael Scheutzow

Publication date 1 March 2021

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

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

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)

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.

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Cites work

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• A stochastic Gronwall lemma
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Cited in

(15)

• Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients
• Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations
• Dynamical behavior of recurrent neural networks with different external inputs
• Stochastic version of Henry type Gronwall’s inequality
• Weak convergence of the Rosenbrock semi-implicit method for semilinear parabolic SPDEs driven by additive noise
• Extension of a stochastic Gronwall lemma
• Ergodicity of stochastic differential equations with jumps and singular coefficients
• Solvability and stability of switched discrete-time linear singular systems under Lipschitz perturbations
• A stochastic Gronwall lemma
• scientific article; zbMATH DE number 1018440 (Why is no real title available?)
• Discrete fractional stochastic Grönwall inequalities arising in the numerical analysis of multi-term fractional order stochastic differential equations
• On a discrete fractional stochastic Grönwall inequality and its application in the numerical analysis of stochastic FDEs involving a martingale
• A numerical solution for a class of time fractional diffusion equations with delay
• A stochastic Gronwall lemma and well-posedness of path-dependent SDEs driven by martingale noise
• A note on the stochastic version of the Gronwall lemma

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