Discrete fractional stochastic Grönwall inequalities arising in the numerical analysis of multi-term fractional order stochastic differential equations.

This paper is devoted to the rigorous derivation of some discrete versions of stochastic Grönwall inequalities involving a martingale, which are commonly used in the numerical analysis of multi-term stochastic time-fractional diffusion equations. A Grönwall lemma is also established to deal with the numerical analysis of multi-term stochastic fractional diffusion equations with delay. The proofs of the established inequalities are based on a corresponding deterministic version of the discrete fractional Grönwall lemma in case of smooth solutions and an inequality bounding the supremum in terms of the infimum for discrete time martingales. A numerical application is introduced finally in which the constructed inequalities are handled to derive a priori estimates for a discrete fractional stochastic model. [ABSTRACT FROM AUTHOR]