A stochastic Gronwall inequality in random time horizon and its application to BSDE
Abstract In this paper, we introduce and prove a stochastic Gronwall inequality in an (unbounded) random time horizon. As an application, we prove a comparison theorem for backward stochastic differential equation (BSDE for short) with random terminal time under a stochastic monotonicity condition.
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2020-02-01
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| Series: | Journal of Inequalities and Applications |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s13660-020-2304-3 |
| Summary: | Abstract In this paper, we introduce and prove a stochastic Gronwall inequality in an (unbounded) random time horizon. As an application, we prove a comparison theorem for backward stochastic differential equation (BSDE for short) with random terminal time under a stochastic monotonicity condition. |
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| ISSN: | 1029-242X |