Averaging for BSDEs with null recurrent fast component. Application to homogenization in a non periodic media

DOI10.1016/J.SPA.2016.08.001MaRDI QIDQ516020zbMATH OpenOpenAlexFDO

Authors Khaled Bahlali, Abouo Elouaflin, Etienne Pardoux

Publication date 20 March 2017

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1508.07696

zbMATH Keywords

averaging in Cesàro senseBSDEs and PDEs with discontinuous coefficientshomogenizationS-topologySDESobolev solution to semilinear PDEsSobolev spacesweak convergence of SDEs and BSDEs

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Stochastic integral equations (60H20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Transition functions, generators and resolvents (60J35)

Abstract: We establish an averaging principle for a family of solutions$(X^{varepsilon},Y^{varepsilon})$ $:=$ $(X^{1,,varepsilon},,X^{2,,varepsilon},,Y^{varepsilon})$ of a system of SDE-BSDEwith a null recurrent fast component $X^{1,,varepsilon}$. Incontrast to the classical periodic case, we can not rely on aninvariant probability and the slow forward component$X^{2,,varepsilon}$ cannot be approximated by a diffusion process.On the other hand, we assume that the coefficients admit a limit in a`{C}esaro sense. In such a case, the limit coefficients may havediscontinuity. We show that we can approximate the triplet$(X^{1,,varepsilon},,X^{2,,varepsilon},,Y^{varepsilon})$ bya system of SDE-BSDE $(X^1,X^2,Y)$ where $X:=(X^1,X^2)$ is aMarkov diffusion which is the unique (in law) weak solution of theaveraged forward component and $Y$ is the unique solution to the averaged backward component. This is done with a backward component whosegenerator depends on the variable $z$. Asapplication, we establish an homogenization result for semilinearPDEs when the coefficients can be neither periodic nor ergodic. Weshow that the averaged BDSE is related to the averaged PDE via aprobabilistic representation of the (unique) Sobolev $W_{d+1,extloc}^{1,2}(R_{+}imes{R}^d)$--solution of the limitPDEs. Our approach combines PDE methods and probabilistic argumentswhich are based on stability property and weak convergence of BSDEsin the S-topology.

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