A path-dependent stochastic Gronwall inequality and strong convergence rate for stochastic functional differential equations

Authors Martin Hutzenthaler, Tuan A. Nguyen

Publication date 2 June 2022

Inequalities; stochastic orderings (60E15) Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30)

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.

This page was built for publication: A path-dependent stochastic Gronwall inequality and strong convergence rate for stochastic functional differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6400919)