BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:97

Article

Lejay, A

关键词: BSDE;    divergence-form operator;    homogenization;    random media;    periodic media;   

DOI  :  10.1016/S0304-4149(01)00124-7

来源: Elsevier

【 摘 要 】

Backward stochastic differential equations (BSDE) also gives the weak solution of a semi-linear system of parabolic PDEs with a second-order divergence-form partial differential operator and possibly discontinuous coefficients. This is proved here by approximation. After that, a homogenization result for such a system of semi-linear PDEs is proved using the weak convergence of the solution of the corresponding BSDEs in the S-topology. (C) 2002 Elsevier Science B.V. All rights reserved.

【 授权许可】

Free