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arXiv:2205.09164 [math.PR]AbstractReferencesReviewsResources

BSDEs driven by G-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs

Mingshang Hu, Shaolin Ji, Xiaojuan Li

Published 2022-05-18Version 1

In this paper, we obtain the existence and uniqueness theorem for backward stochastic differential equation driven by G-Brownian motion (G-BSDE) under degenerate case. Moreover, we propose a new probabilistic method based on the representation theorem of G-expectation and weak convergence to obtain the regularity of fully nonlinear PDE associated to G-BSDE.

Comments: 34 pages
Categories: math.PR
Subjects: 60H10
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