Extension of a stochastic Gronwall lemma
Tom 68 / 2020
Bulletin Polish Acad. Sci. Math. 68 (2020), 97-104
MSC: Primary 60E15; Secondary 60H05.
DOI: 10.4064/ba190524-7-5
Opublikowany online: 25 May 2020
Streszczenie
A stochastic Gronwall lemma is proved in Scheutzow (2013) in the case when the exponent lies in the interval 0 \lt p \lt 1. In this paper, we extend the lemma to the entire interval 0 \lt p \lt \infty . We construct simple examples to illustrate the present result.
