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A note on the stochastic version of the Gronwall lemma
Abstract We prove a stochastic version of the Gronwall lemma assuming that the underlying martingale has a terminal random value in Lp , where The proof of the present result is mainly based on a sharp martingale inequality of the Doob-type.
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Stochastic Analysis and Applications presents the latest innovations in the field of stochastic theory and its practical applications, as well as the full range of related approaches to analyzing systems under random excitation. In addition, it is the only publication that offers the broad, detailed coverage necessary for the interfield and intrafield fertilization of new concepts and ideas, providing the scientific community with a unique and highly useful service.
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