Extension of a stochastic Gronwall lemma
Volume 68 / 2020
Bulletin Polish Acad. Sci. Math. 68 (2020), 97-104
MSC: Primary 60E15; Secondary 60H05.
DOI: 10.4064/ba190524-7-5
Published online: 25 May 2020
Abstract
A stochastic Gronwall lemma is proved in Scheutzow (2013) in the case when the exponent $p$ 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.
