A discrete stochastic Gronwall Lemma
Probability
2017-01-16 v1 Numerical Analysis
Abstract
We derive a discrete version of the stochastic Gronwall Lemma found in [Scheutzow, IDAQP, 2013]. 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 time discrete martingales. As an application the proof of an a priori estimate for the backward Euler-Maruyama method is included.
Keywords
Cite
@article{arxiv.1601.07503,
title = {A discrete stochastic Gronwall Lemma},
author = {Raphael Kruse and Michael Scheutzow},
journal= {arXiv preprint arXiv:1601.07503},
year = {2017}
}
Comments
9 pages