Open AccessSome properties for Itô processes driven by $G$-Brownian motion
Author(s) -
Xinpeng Li,
Falei Wang
Publication year - 2017
Publication title -
electronic communications in probability
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.236
H-Index - 38
ISSN - 1083-589X
DOI - 10.1214/17-ecp78
Subject(s) - mathematics , brownian motion , probabilistic logic , upper and lower bounds , ball (mathematics) , partial differential equation , diffusion process , fractional brownian motion , stochastic differential equation , mathematical analysis , statistics , computer science , knowledge management , innovation diffusion
article 46International audienceIn 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