Homogenization of reflected semilinear PDEs with nonlinear Neumann boundary condition

DOI10.1515/ROSE.2010.013zbMath1226.35007arXiv0712.2986OpenAlexW2049591003MaRDI QIDQ3103222

Auguste Aman, Modeste N'zi

Publication date: 26 November 2011

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.2986

zbMATH Keywords

obstacle problemviscosity solution of PDEsreflected backward stochastic differential equationshomogenization of PDEs

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) PDEs with randomness, stochastic partial differential equations (35R60) Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) Stochastic integral equations (60H20)

Related Items (1)

BSDEs with monotone generator and two irregular reflecting barriers

Cites Work

• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• Boundary layers and homogenization of transport processes
• Generalized BSDEs and nonlinear Neumann boundary value problems
• An approximation result for a nonlinear Neumann boundary value problem via BSDEs
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Stochastic differential equations with reflecting boundary conditions
• Backward Stochastic Differential Equations in Finance

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