Homogenization of Multivalued Partial Differential Equations via Reflected Backward Stochastic Differential Equations

DOI10.1081/SAP-120028024MaRDI QIDQ4450716zbMATH OpenOpenAlexFDO

Authors Youssef Ouknine, E. H. Essaky

Publication date 15 February 2004

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

Full work available at URL https://doi.org/10.1081/sap-120028024

zbMATH Keywords

convergence in lawhomogenizationmulti-valued partial differential equationreflected backward stochastic differential equationvariational inequalityviscosity solution

Mathematics Subject Classification ID

Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with subdifferential operator and related variational inequalities
• BSDEs, convergence in law and homogenization of semilinear parabolic SDEs
• Homogenization of linear and semilinear second order parabolic PDEs with periodic coefficients: A probabilistic approach
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Probabilistic approach to homogenization of viscosity solutions of parabolic PDEs
• Random time changes and convergence in distribution under the Meyer-Zheng conditions
• Reflected backward stochastic differential equations with jumps
• Zero-sum stochastic differential games and backward equations

Cited in

(10)

• Convergence of BSDEs and homogenization of semilinear variational inequalities in a convex domain
• Homogenization of reflected semilinear PDEs with nonlinear Neumann boundary condition
• Homogenization of BSDEs with two reflecting barriers, variational inequality and stochastic game
• Reflected stochastic partial differential equations with jumps
• Averaging of Backward Stochastic Differential Equations and Homogenization of Partial Differential Equations with Periodic Coefficients
• Reflected stochastic Burgers equation with jumps
• Reflected backward stochastic partial differential equations driven by Teugels martingales
• Averaging principles for forward-backward multivalued stochastic systems and applications to systems of nonlinear parabolic partial differential equations
• Probabilistic approach to averaging for a type of multivalued Dirichlet-Neumann problems
• BSDEs and reflected BSDEs with default time and stochastic Lipschitz drivers: theory and some financial applications

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