BSDEs driven by G-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs (2205.09164v1)

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.