Rough path analysis for local time of G-Brownian motion
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DOI: 10.1080/00036811.2018.1514112
Abstract: ABSTRACT Let be the local time of a G-Brownian motion B on a sublinear expectation space . In this paper, we show that the local time is a rough path of roughness p quasi-surely for… read more here.
Keywords: time brownian; rough path; local time; brownian motion ... See more keywords
A short note on the mean exit time of the Brownian motion
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DOI: 10.1142/s0219887817501730
Abstract: We investigate the functional Ω↦ℰ(Ω) where Ω runs through the set of compact domains of fixed volume v in any Riemannian manifold (M,g) and where ℰ(Ω) is the mean exit time from Ω of the… read more here.
Keywords: time brownian; mean exit; exit time; brownian motion ... See more keywords