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

DOI10.1081/SAP-120028024zbMath1037.60059MaRDI QIDQ4450716

Youssef Ouknine, El Hassan Es-Saky

Publication date: 15 February 2004

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

zbMATH Keywords

variational inequality; viscosity solution; homogenization; convergence in law; reflected backward stochastic differential equation; multi-valued partial differential equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

35K85: Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

Related Items

Averaging of Backward Stochastic Differential Equations and Homogenization of Partial Differential Equations with Periodic Coefficients

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