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- W3047626320 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)." @default.
- W3047626320 created "2020-08-13" @default.
- W3047626320 creator A5050012155 @default.
- W3047626320 date "2020-12-01" @default.
- W3047626320 modified "2023-09-23" @default.
- W3047626320 title "Exit times for semimartingales under nonlinear expectation" @default.
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- W3047626320 doi "https://doi.org/10.1016/j.spa.2020.07.017" @default.
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