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Exit times for semimartingales under nonlinear expectation

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  • Liu, Guomin

Abstract

Let Eˆ be the upper expectation of a weakly compact but possibly non-dominated family P of probability measures. Assume that Y is a d-dimensional P-semimartingale under Eˆ. Given an open set Q⊂Rd, the exit time of Y from Q is defined by τQ≔inf{t≥0:Yt∈Qc}.The main objective of this paper is to study the quasi-continuity properties of τQ under the nonlinear expectation Eˆ. Under some additional assumptions on the growth and regularity of Y, we prove that τQ∧t is quasi-continuous if Q satisfies the exterior ball condition. We also give the characterization of quasi-continuous processes and related properties on stopped processes. In particular, we obtain the quasi-continuity of exit times for multi-dimensional G-martingales, which nontrivially generalizes the previous one-dimensional result of Song (2011).

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  • Liu, Guomin, 2020. "Exit times for semimartingales under nonlinear expectation," Stochastic Processes and their Applications, Elsevier, vol. 130(12), pages 7338-7362.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:12:p:7338-7362
    DOI: 10.1016/j.spa.2020.07.017
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    References listed on IDEAS

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    1. Nutz, Marcel & van Handel, Ramon, 2013. "Constructing sublinear expectations on path space," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 3100-3121.
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    Cited by:

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