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BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization

Abstract : Backward stochastic differential equations (BSDE) also gives the weak solution of a semi-linear system of parabolic PDEs with a second-order divergence-form partial differential operator and possibly discontinuous coefficients. This is proved here by approximation. After that, a homogenization result for such a system of semi-linear PDEs is proved using the weak convergence of the solution of the corresponding BSDEs in the S-topology.
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https://hal.inria.fr/inria-00001229
Contributor : Antoine Lejay Connect in order to contact the contributor
Submitted on : Monday, April 10, 2006 - 10:04:35 PM
Last modification on : Friday, February 4, 2022 - 3:25:26 AM
Long-term archiving on: : Saturday, April 3, 2010 - 9:47:19 PM

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Antoine Lejay. BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization. Stochastic Processes and their Applications, Elsevier, 2002, 97 (1), pp.1-39. ⟨10.1016/S0304-4149(01)00124-7⟩. ⟨inria-00001229⟩

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