On the exit times of SDEs driven by $G$-Brownian motion

Guomin Liu; Shige Peng; Falei Wang

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arXiv · 1804.05610

On the exit times of SDEs driven by $G$-Brownian motion

Guomin Liu·Shige Peng·Falei Wang

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Abstract

This paper is devoted to studying the properties of the exit times of stochastic differential equations driven by $G$-Brownian motion ($G$-SDEs). In particular, we prove that the exit times of $G$-SDEs has the quasi-continuity property. As an application, we give a probabilistic representation for a large class of fully nonlinear elliptic equations with Dirichlet boundary.

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BibTeX RIS

Guomin Liu, Shige Peng, Falei Wang. 2018-04-16. On the exit times of SDEs driven by $G$-Brownian motion. https://arxiv.org/abs/1804.05610

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