Weak solution of semi-linear PDE, BSDE and homogenization (Q2732322)
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scientific article; zbMATH DE number 1623581
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| English | Weak solution of semi-linear PDE, BSDE and homogenization |
scientific article; zbMATH DE number 1623581 |
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Weak solution of semi-linear PDE, BSDE and homogenization (English)
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13 June 2002
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backward stochastic differential equations
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The author considers a semilinear PDE of the following type NEWLINE\[NEWLINE\begin{cases}{\partial u^\varepsilon (t,x)\over \partial t}+L^\varepsilon u^\varepsilon (t,x)+ h\bigl(t,x/ \varepsilon,x,u^\varepsilon (t,x)\bigr)+\nabla u^\varepsilon (t,x)\widehat h\bigl(t,x/ \varepsilon,x, u^\varepsilon (t,x)\bigr) =0,\\ (t,x)\in[s,T] \times{\mathcal O},\\ u^\varepsilon(T,x)= g(x),\\ u^\varepsilon (t,x)=0 \text{ on }\partial {\mathcal O}\text{ for any }t\in [s,T),\end{cases} \tag{1}NEWLINE\]NEWLINE where \(L^\varepsilon\) is a divergence-form operator \(L^\varepsilon={1\over 2}{\partial\over\partial x_i}(a_{i,j}(x/ \varepsilon){\partial\over \partial x_j})\), and \(a\) and \(x\mapsto h(\cdot,x, \cdot,\cdot)\), \(x\mapsto\widehat h (\cdot,x, \cdot,\cdot)\) are periodic. The author gives a sketch of the proof that the solution to (1) converges. The main tool of the proof is to show a weak convergence of the solution to the backward stochastic differential equation associated to (1).
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0.8742600679397583
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0.8742600679397583
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0.8680943846702576
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