On the exit times of SDEs driven by $G$-Brownian motion
Probability
2018-05-16 v2
Abstract
This paper is devoted to studying the properties of the exit times of stochastic differential equations driven by -Brownian motion (-SDEs). In particular, we prove that the exit times of -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.
Keywords
Cite
@article{arxiv.1804.05610,
title = {On the exit times of SDEs driven by $G$-Brownian motion},
author = {Guomin Liu and Shige Peng and Falei Wang},
journal= {arXiv preprint arXiv:1804.05610},
year = {2018}
}