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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Stochastic Processes and their Applications, Elsevier, 2002, 97 (1), pp.1-39. 〈10.1016/S0304-4149(01)00124-7〉
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Contributeur : Antoine Lejay <>
Soumis le : lundi 10 avril 2006 - 22:04:35
Dernière modification le : mardi 9 octobre 2018 - 13:30:02
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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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