A path-dependent stochastic Gronwall inequality and strong convergence rate for stochastic functional differential equations

Abstract

We derive a stochastic Gronwall lemma with suprema over the paths in the upper bound of the assumed affine-linear growth assumption. This allows applications to It\^o processes with coefficients which depend on earlier time points such as stochastic delay equations or Euler-type approximations of stochastic differential equations. We apply our stochastic Gronwall lemma with path-suprema to stochastic functional differential equations and prove a strong convergence rate for coefficient functions which depend on path-suprema.