A discrete stochastic Gronwall lemma

Raphael Kruse and Michael Scheutzow

Mathematics and Computers in Simulation (MATCOM), 2018, vol. 143, issue C, 149-157

Abstract: The purpose of this paper is the derivation of a discrete version of the stochastic Gronwall lemma involving a martingale. 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 discrete time martingales. As an application the proof of an a priori estimate for the backward Euler–Maruyama method is included.

Keywords: Gronwall lemma; Martingale inequality; Backward Euler–Maruyama method; A priori estimate (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:143:y:2018:i:c:p:149-157

DOI: 10.1016/j.matcom.2016.07.002

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