Yes, it's possible.
Try with a timer, the goal is to make a PWM generator (ie : one one period for example 10µs, put led on x µs and off 10-xµs)
If it should have 10 step, a timer that run at 1kHz is good. (10µs timebase)
Some PIC should already have PWM generator, so the interupt frequency can be reduced.
After that, if it should decrease really smothly, the interrupt frequency shoulf be high (10kHz, 100 kHz) or it's necessary to use some tricks (multiple pins, variable timebase, and so no)