Homogenization of reflected semilinear PDEs with nonlinear Neumann boundary condition

DOI10.1515/ROSE.2010.013MaRDI QIDQ3103222zbMATH OpenOpenAlexFDO

Authors 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

homogenization of PDEsobstacle problemreflected backward stochastic differential equationsviscosity solution of PDEs

Mathematics Subject Classification ID

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

Abstract: We study the homogenization problem of semi linear reflected partial differential equations (reflected PDEs for short) with nonlinear Neumann conditions. The non-linear term is a function of the solution but not of its gradient. The proof are fully probabilistic and uses weak convergence of associated reflected generalized backward differential stochastic equations (reflected GBSDEs in short).

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Cites work

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

Cited in

(9)

• Generalized BSDEs, weak convergence, and homogenization of semilinear PDEs with the Wentzell-type boundary condition
• BSDEs with monotone generator and two irregular reflecting barriers
• scientific article; zbMATH DE number 1971732 (Why is no real title available?)
• Homogenization of Multivalued Partial Differential Equations via Reflected Backward Stochastic Differential Equations
• Homogenization of a degenerate PDE with a nonlinear Neumann boundary condition
• Reflected BSDE and Locally Periodic Homogenization of Semilinear PDEs with Nonlinear Neumann Boundary Condition
• Large deviations and homogenization of semilinear nonlocal PDE with the Neumann boundary condition
• Stochastic homogenization of reflected stochastic differential equations
• Locally periodic homogenization of reflected diffusion

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