Some properties for Itô processes driven by $G$-Brownian motion - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Electronic Communications in Probability Année : 2017

Some properties for Itô processes driven by $G$-Brownian motion

Résumé

In this paper, we use partial differential equation (PDE) techniques and probabilistic approaches to study the lower capacity of the ball for the Ito process driven by G-Brownian motion (G-Ito process). In particular, the lower bound on the lower capacity of certain balls is obtained. As an application, we prove a strict comparison theorem in G-expectation framework.

Dates et versions

hal-01599496 , version 1 (02-10-2017)

Identifiants

Citer

Xinpeng Li, Falei Wang. Some properties for Itô processes driven by $G$-Brownian motion. Electronic Communications in Probability, 2017, 22 (none), ⟨10.1214/17-ECP78⟩. ⟨hal-01599496⟩
98 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More