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

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.

preprint2022arXivOpen access
Mingshang HuShaolin JiXiaojuan Li
math.PR
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Mingshang HuShaolin JiXiaojuan Li

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