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2017 Some properties for Itô processes driven by $G$-Brownian motion
Xinpeng Li, Falei Wang
Electron. Commun. Probab. 22: 1-10 (2017). DOI: 10.1214/17-ECP78

Abstract

In this paper, we use partial differential equation (PDE) techniques and probabilistic approaches to study the lower capacity of the ball for the Itô process driven by $G$-Brownian motion ($G$-Itô 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.

Citation

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Xinpeng Li. Falei Wang. "Some properties for Itô processes driven by $G$-Brownian motion." Electron. Commun. Probab. 22 1 - 10, 2017. https://doi.org/10.1214/17-ECP78

Information

Received: 24 January 2017; Accepted: 9 August 2017; Published: 2017
First available in Project Euclid: 9 September 2017

zbMATH: 06797799
MathSciNet: MR3705130
Digital Object Identifier: 10.1214/17-ECP78

Subjects:
Primary: 60H10, 60H30

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