Averaging of Backward Stochastic Differential Equations and Homogenization of Partial Differential Equations with Periodic Coefficients

DOI10.1080/07362990500522197zbMath1104.60028OpenAlexW1969515346MaRDI QIDQ5488645

Youssef Ouknine, El Hassan Es-Saky

Publication date: 22 September 2006

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990500522197

zbMATH Keywords

convergence in lawaveragingMeyer-Zheng topologyBSDEsemilinear PDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60)

Related Items (5)

A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations ⋮ A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion ⋮ Probabilistic approach to homogenization of a non-divergence form semilinear PDE with non-periodic coefficients ⋮ Averaging for BSDEs with null recurrent fast component. Application to homogenization in a non periodic media ⋮ An averaging principle for nonlinear parabolic PDEs via FBSDEs driven by \(G\)-Brownian motion

Cites Work

• Adapted solution of a backward stochastic differential equation
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• On the Poisson equation and diffusion approximation. I
• Probabilistic approach to homogenization of viscosity solutions of parabolic PDEs
• Probabilistic approach to singular perturbations of semilinear and quasilinear parabolic PDEs
• Backward stochastic differential equation with local time
• Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures
• Homogenization of Multivalued Partial Differential Equations via Reflected Backward Stochastic Differential Equations
• Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient
• BSDEs, convergence in law and homogenization of semilinear parabolic SDEs

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