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

Abstract: 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 on (0, 1). This result generalizes the existence and uniqueness theorem related to fractional order (1/2 1) appearing in [1]. Finally, the fractional type Fokker-Planck-Kolmogorov equation associated to the solution of the fractional SDE is derived using It^o's formula.