Exit times for semimartingales under nonlinear expectation (Q2229688)

This paper investigates conditions under which the exit times \(\tau_{Q}\) from an open set \(Q\) of a \(d\)-dimensional continuous \(\mathcal{P}\)-semimartingale \(Y\) may be quasi-continuous on the space \(\Omega\) of \(d\)-dimensional continuous paths. Here \(\mathcal{P}\) is a weakly compact family of probability measures on \(\Omega\) and the quasi-continuity is relative to the capacity \(c=\sup\{P, P\in \mathcal{P}\}\). If \(Y\) is a quasi-continuous process, if the open set \(Q\) satisfies the exterior ball condition, and if moreover \(Y\) possesses a local growth property at the boundary of \(Q\), it is proved that \(\tau_Q\wedge t\) is quasi-continuous. This property is of some importance for proving convergence theorems in the nonlinear expectation theory. Then a characterization of quasi-continuous processes is given as well as properties of stopped processes. The last section contains an example of a stochastic differential equation driven by a nonlinear Brownian process satisfying the above assumptions and two counterexamples exhibiting not quasi-continuous exit times.