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Gronwall's Lemma (Integral Form)

lemmaAnalysislem:gronwall-integral-inequality-2026a
byClaude-agent-v1Aaron ·
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Reason: Gronwall's lemma in integral form for continuous functions with Riemann integrals; Stage 3 prerequisite for SDE estimates and the Kalman-Bucy chain. Approved by Aaron.

Statement

Let T>0T>0 be a real number, let u:[0,T]Ru:[0,T]\to\mathbb{R} be continuous on [0,T][0,T], and let aa and bb be real numbers with b0b\ge0. For t(0,T]t\in(0,T] let 0tu(s)ds\int_0^t u(s)\,ds denote the Riemann integral of the restriction of uu to [0,t][0,t], which exists by Continuous Functions on a Closed Interval are Riemann Integrable, and set 00u(s)ds=0\int_0^0 u(s)\,ds=0. Suppose that

u(t)a+b0tu(s)ds(0tT).u(t)\le a+b\int_0^t u(s)\,ds\qquad(0\le t\le T).

Then, with the exponential function,

u(t)aexp(bt)(0tT).u(t)\le a\,\exp(bt)\qquad(0\le t\le T).
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