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

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.

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Year of publication:	2002
Authors:	Lejay, Antoine
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 97.2002, 1, p. 1-39
Publisher:	Elsevier
Keywords:	BSDE Divergence-form operator Homogenization Random media Periodic media

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874322