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Concave and other generalizations of stochastic Gronwall inequalities

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abstract

We provide nonlinear generalizations of a class of stochastic Gronwall inequalities that have been studied by von Renesse and Scheutzow (2010), Scheutzow (2013), Xie and Zhang (2020) and Mehri and Scheutzow (2021). This class of stochastic Gronwall inequalities is a useful tool for SDEs. More precisely, we study generalizations of the Bihari-LaSalle type. Whilst in a closely connected article by the author convex generalizations are studied, we investigate here concave and other generalizations. These types of estimates are useful to obtain existence and uniqueness of global solutions of path-dependent SDEs driven by L\'evy processes under one-sided non-Lipschitz monotonicity and coercivity assumptions.

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math.PR 1

years

2025 1

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