A new type of the Gronwall-Bellman inequality and its application to fractional stochastic differential equations

This paper presents a new type of Gronwall-Bellman inequality, which arises from a class of integral equations with a mixture of nonsingular and singular integrals. The new idea is to use a binomial function to combine the known Gronwall-Bellman inequalities for integral equations having nonsingular integrals with those having singular integrals. Based on this new type of Gronwall-Bellman inequality, we investigate the existence and uniqueness of the solution to a fractional stochastic differential equation (SDE) with fractional order . Finally, the fractional type Fokker-Planck-Kolmogorov equation associated to the solution of the fractional SDE is derived using Itô’s formula.

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