A Stochastic Gronwall Lemma and Well-Posedness of Path-Dependent SDEs Driven by Martingale Noise

Sima Mehri; Michael Scheutzow

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arXiv · 1908.10646

A Stochastic Gronwall Lemma and Well-Posedness of Path-Dependent SDEs Driven by Martingale Noise

Sima Mehri·Michael Scheutzow

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Abstract

We show existence and uniqueness of solutions of stochastic path-dependent differential equations driven by cadlag martingale noise under joint local monotonicity and coercivity assumptions on the coefficients with a bound in terms of the supremum norm. In this set-up, the usual proof using the ordinary Gronwall lemma together with the Burkholder-Davis-Gundy inequality seems impossible. In order to solve this problem, we prove a new and quite general stochastic Gronwall lemma for cadlag martingales using Lenglart's inequality.

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Sima Mehri, Michael Scheutzow. 2019-08-28. A Stochastic Gronwall Lemma and Well-Posedness of Path-Dependent SDEs Driven by Martingale Noise. https://arxiv.org/abs/1908.10646

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