Auxiliary SDES for homogenization of quasilinear PDES with periodic coefficients
François Delarue
Source: Ann. Probab. Volume 32, Number 3B
(2004), 2305-2361.
Abstract
We study the homogenization property of systems of quasi-linear PDEs of parabolic type with periodic coefficients, highly oscillating drift and highly oscillating nonlinear term. To this end, we propose a probabilistic approach based on the theory of forward–backward stochastic differential equations and introduce the new concept of “auxiliary SDEs.”
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Keywords: Homogenization; system of quasilinear PDEs; forward–backward stochastic differential equations; convergence in law
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Permanent link to this document: http://projecteuclid.org/euclid.aop/1091813615
Digital Object Identifier: doi:10.1214/009117904000000144
Zentralblatt MATH identifier: 02121698
Mathematical Reviews number (MathSciNet): MR2078542
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