BSDES DRIVEN BY G-BROWNIAN MOTION UNDER DEGENERATE CASE AND ITS APPLICATION TO THE REGULARITY OF FULLY NONLINEAR PDES

被引：0
|
作者：
Hu, Mingshang [1 ]
Ji, Shaolin [1 ]
Li, Xiaojuan [2 ]
机构：
[1] Shandong Univ, Zhongtai Secur Inst Financial Studies, Jinan 250100, Shandong, Peoples R China
[2] Qilu Normal Univ, Dept Math, Jinan 250200, Peoples R China
来源：
TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY | 2024年 / 377卷 / 05期
基金：
国家重点研发计划;
关键词：
G-expectation; G-Brownian motion; backward stochastic differential equation; fully nonlinear PDE; STOCHASTIC DIFFERENTIAL-EQUATIONS; REPRESENTATION THEOREM; G-EXPECTATION; CALCULUS;
D O I：
10.1090/tran/9129
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
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 GBSDE.
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页码：3287 / 3323
页数：37
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