Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures

DOI10.1016/S0362-546X(97)00505-1zbMath1016.35002OpenAlexW2050958335MaRDI QIDQ4266386

Ying Hu, Rainer Buckdahn

Publication date: 14 November 1999

Published in: Nonlinear Analysis: Theory, Methods & Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0362-546x(97)00505-1

zbMATH Keywords

forward-backward SDEs

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Homogenization in context of PDEs; PDEs in media with periodic structure (35B27)

Related Items (17)

Forward-backward stochastic differential equations with nonsmooth coefficients. ⋮ Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures ⋮ Auxiliary SDEs for homogenization of quasilinear PDEs with periodic coefficients. ⋮ Reflected backward stochastic differential equation with jumps and RCLL obstacle ⋮ Weak existence and uniqueness for forward-backward SDEs ⋮ Unnamed Item ⋮ A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints ⋮ Continuous dependence estimates and homogenization of quasi-monotone systems of fully nonlinear second order parabolic equations ⋮ Periodic homogenization of parabolic nonstandard monotone operators ⋮ Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs ⋮ Averaging for BSDEs with null recurrent fast component. Application to homogenization in a non periodic media ⋮ General existence results for reflected BSDE and BSDE ⋮ On the existence of solution to one–dimensional forward–backward sdes ⋮ Optimal control of multiscale systems using reduced-order models ⋮ An averaging principle for nonlinear parabolic PDEs via FBSDEs driven by \(G\)-Brownian motion ⋮ Averaging of Backward Stochastic Differential Equations and Homogenization of Partial Differential Equations with Periodic Coefficients ⋮ Probabilistic approach to singular perturbations of semilinear and quasilinear parabolic PDEs

Cites Work

• Adapted solution of a backward stochastic differential equation
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures
• Backward Stochastic Differential Equations in Finance
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