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

DOI10.1080/07362990500522197MaRDI QIDQ5488645zbMATH OpenOpenAlexFDO

Authors Youssef Ouknine, E. H. Essaky

Publication date 22 September 2006

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

Full work available at URL https://doi.org/10.1080/07362990500522197

zbMATH Keywords

averagingconvergence in lawMeyer-Zheng topologyBSDEsemilinear PDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60)

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Cites work

• Adapted solution of a backward stochastic differential equation
• BSDEs, convergence in law and homogenization of semilinear parabolic SDEs
• Backward stochastic differential equation with local time
• Homogenization of Multivalued Partial Differential Equations via Reflected Backward Stochastic Differential Equations
• Homogenization of linear and semilinear second order parabolic PDEs with periodic coefficients: A probabilistic approach
• On the Poisson equation and diffusion approximation. I
• Probabilistic approach to homogenization of viscosity solutions of parabolic PDEs
• Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures
• Probabilistic approach to singular perturbations of semilinear and quasilinear parabolic PDEs
• Random time changes and convergence in distribution under the Meyer-Zheng conditions
• Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient
• Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs

Cited in

(9)

• A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations
• Averaging principle for backward stochastic differential equations
• Homogenization of semilinear PDEs with discontinuous averaged coefficients
• A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion
• Probabilistic approach to homogenization of a non-divergence form semilinear PDE with non-periodic coefficients
• CONVERGENCE OF BSDEs AND HOMOGENIZATION OF ELLIPTIC SEMI-LINEAR PDEs
• Averaging for BSDEs with null recurrent fast component. Application to homogenization in a non periodic media
• Weak solution of semi-linear PDE, BSDE and homogenization
• An averaging principle for nonlinear parabolic PDEs via FBSDEs driven by \(G\)-Brownian motion

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