Work

On the capacity for degenerated G-Brownian motion and its application

Year: 2023

Type: article

Abstract: In this paper, the capacity c({BT∈A}) of degenerated G-Brownian motion BT for arbitrary Borel set A is calculated via the viscosity solution of G-heat equation. In particular, unlike the classical Brownian motion and non-degenerated G-Brownian motion which do not weight points, we obtain c({BT=a})>0 for each a∈R in the degenerated case we study here. As an application, we show that IA(BT) has no quasi-continuous version unless A=∅ or R.

Source: Electronic Communications in Probability

DOI: 10.1214/23-ecp565

Authors: Xiaojuan Li, Xinpeng Li

Institutions: Shandong University, Qilu Normal University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

Funders: National Science Foundation, National Natural Science Foundation of China