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.

引用

页码：3287 / 3323

页数：37

共 43 条

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