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arXiv · 2205.09164

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
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Abstract

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.

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Mingshang Hu, Shaolin Ji, Xiaojuan Li. 2022-05-18. BSDEs driven by G-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs. https://arxiv.org/abs/2205.09164

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