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

DOI10.1016/j.spa.2016.08.001zbMath1358.60076arXiv1508.07696OpenAlexW2962777983MaRDI QIDQ516020

Khaled Bahlali, Etienne Pardoux, Abouo Elouaflin

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

Sobolev spaceshomogenizationS-topologySDEaveraging in Cesàro senseBSDEs and PDEs with discontinuous coefficientsSobolev solution to semilinear PDEsweak convergence of SDEs and BSDEs

Mathematics Subject Classification ID

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

Related Items

On dynamical systems perturbed by a null-recurrent motion: the general case, A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations, A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion, Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs, New characterizations of the \(S\) topology on the Skorokhod space, An averaging principle for nonlinear parabolic PDEs via FBSDEs driven by \(G\)-Brownian motion, Approximation of a degenerate semilinear PDE with a nonlinear Neumann boundary condition

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Tightness criteria for laws of semimartingales
• Limit theorem for controlled backward SDEs and homogenization of Hamilton-Jacobi-Bellman equations
• Parabolic equations with measurable coefficients
• Homogenization of semilinear PDEs with discontinuous averaged coefficients
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• A non-Skorokhod topology on the Skorokhod space
• Homogenization of linear and semilinear second order parabolic PDEs with periodic coefficients: A probabilistic approach
• Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
• On averaging principle for diffusion processes with null-recurrent fast component.
• Auxiliary SDEs for homogenization of quasilinear PDEs with periodic coefficients.
• Probabilistic approach to homogenization of viscosity solutions of parabolic PDEs
• Periodic homogenization with an interface: the multi-dimensional case
• Stochastic differential equations, backward SDEs, partial differential equations
• On weak uniqueness for some diffusions with discontinuous coefficients
• Functional Integration and Partial Differential Equations. (AM-109)
• SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
• Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures
• Averaging of backward stochastic differential equations, with application to semi-linear pde's
• Homogenization of a semilinear parabolic PDE with locally periodic coefficients: a probabilistic approach
• Averaging of Backward Stochastic Differential Equations and Homogenization of Partial Differential Equations with Periodic Coefficients
• BSDEs, convergence in law and homogenization of semilinear parabolic SDEs