Hi, Antonio,
They aren't quite the same. To give up means that you're quitting the situation--like, "I just can't figure out how to do this, so I'm going to give up." (Also, in English you give up on something or someone-- "She wasn't reliable, so I gave up on her.") "Cut out" can mean different things. Very colloquially, it can mean to leave quickly--"The party was a drag, so I cut out early." There's another phrase, "cut it out," which means "stop it!" That's probably the one you mean: "He was annoying me, so I told him to cut it out!" It always functions as a unit, though--you wouldn't say "I cut out doing that."
I hope this makes sense!