A class of stochastic Gronwall’s inequality and its application

Abstract

This paper puts forward the basic form of stochastic Gronwall’s inequality and uses, respectively, the iterative method, the integral method and the martingale representation method to prove it. Then it presents an application to prove a comparison theorem of $L^{p}$ solutions for one-dimensional backward stochastic differential equations under the stochastic Lipschitz condition.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 22 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.