BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogeniza\-tion. (Q1766037): Difference between revisions

Backward stochastic differential equations are proved to give the weak solutions to semilinear parabolic PDE's with a second order divergence-form partial differential operator with possibly discontinuous coefficients. More specifically, the semilinear parabolic equation of the form \[ \frac {\partial u(t,x)}{\partial t} +Lu(t,x) +h(t,x,u(t,x),\nabla u(t,x))=0,\quad u(T,x)=g(x), \] \(x\in \mathbb R^N\), where \[ L= \frac 12\frac {\partial }{\partial x_i}\left (a_{ij}\frac {\partial }{\partial x_j}\right ) + b_i\frac {\partial }{\partial x_i} \] for a bounded function \(b\) and symmetric and bounded matrix \(a\) satisfying the uniform ellipticity condition, is associated to a BSDE in a natural way (the coefficients of \(L\) may be discontinuous). Also, a PDE with additional first-order nonlinear term is treated by means of Girsanov transform, and a homogenization result for such PDE's is proved using the weak convergence of the solution of the BSDE in the \(S\)-topology.