Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5127991 | Mathematics and Computers in Simulation | 2018 | 9 Pages |
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.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Raphael Kruse, Michael Scheutzow,