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

MaRDI QIDQ6300398zbMATH OpenFDO

Authors Guomin Liu, Shige Peng, Falei Wang

Publication date 16 April 2018

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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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