A path-dependent stochastic Gronwall inequality and strong convergence rate for stochastic functional differential equations
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Publication:6400919
arXiv2206.01049MaRDI QIDQ6400919FDOQ6400919
Authors: Martin Hutzenthaler, Tuan A. Nguyen 
Publication date: 2 June 2022
Abstract: We derive a stochastic Gronwall lemma with suprema over the paths in the upper bound of the assumed affine-linear growth assumption. This allows applications to It^o processes with coefficients which depend on earlier time points such as stochastic delay equations or Euler-type approximations of stochastic differential equations. We apply our stochastic Gronwall lemma with path-suprema to stochastic functional differential equations and prove a strong convergence rate for coefficient functions which depend on path-suprema.
Inequalities; stochastic orderings (60E15) Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30)
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