A Hilbert space approach to homogenization of linear ordinary differential equations including delay and memory terms

We present an abstract approach to homogenization in a Hilbert space setting. Related compactness results are obtained. Moreover, the homogenized equations may be computed explicitly, if periodicity is imposed. Examples for the applicability of our homogenization result for linear ordinary (integro‐)differential equations are given. Copyright © 2012 John Wiley & Sons, Ltd.     

CONVERGENCE OF BSDEs AND HOMOGENIZATION OF ELLIPTIC SEMI-LINEAR PDEs

We present a result of weak convergence for Backward Stochastic Differential Equations with a random terminal time. Then we can deduce results of homogenization for elliptic semi-linear PDEs with random or periodic coefficients and whose non-linearity may have a quadratic growth in the gradient.     

Two-scale Convergence and Homogenization for a Class of Quasilinear Elliptic Equations

By use of Fourier analysis techniques, we obtain some new properties of the almost-periodic functions and extend the two-scale convergence method in the homogenization theory to the case of almost-periodic oscillations. Then, we use some new techniques to study the homogenization for quasilinear elliptic equations with almostperiodic coefficients: div a(x,x/ε, u, Du) = f(x) in Ω and obtain the weak convergence and corrector result.     

Diffusion in turbulence

Summary We prove long time diffusive behavior (homogenization) for convection-diffusion in a turbulent flow that it incompressible and has a stationary and square integrable stream matrix. Simple shear flow examples show that this result is sharp for flows that have stationary stream matrices.     

Fast homogenization algorithm based on asymptotic theory and multiscale schemes

A time-frequency interpretation of the classical asymptotic theory of homogenization for elliptic PDE with periodic coefficients is presented and the relations with known multilevel/multiscale numerical schemes are investigated. We formulate a new fast iterative algorithm for the approximation of homogenized solutions based on the combination of these two apparently different approaches. The asymptotic homogenization process is interpreted as a migration to infinity of the frequencies related to microscale contributions and the discovering of those related to the homogenized solution. At different scale/frequency of the periodic coefficients of the operator, band-pass filters select only the contributions of the homogenized solution which is then composed as the limit of an iterative procedure. This novel method can be interpreted in case of finite difference discretizations as a generalized nonstationary subdivision scheme and its convergence and stability are discussed. In particular, stable compositions of the homogenized solution are investigated in relation with the contracting behavior of specific operators generated by reduction processes and Schur's complements of suitable matrices produced by discretizations via wavelets and multiscale bases. AMS subject classification 35B27, 35J25, 65N55, 65M99, 65T60, 78M25, 78M30 Maria Morandi Cecchi: The support of the italian MIUR under project “Numerical Modeling for Scientific Computing and Advanced Applications” (COFIN 2003) is gratefully acknowledged. Massimo Fornasier: The author acknowledges the financial support provided through the Intra-European Individual Marie Curie Fellowship, project FTFDORF-FP6-501018, and the hospitality of NuHAG (Numerical Harmonic Analysis Group), Facutly of Mathematics, University of Vienna, Austria.     

Ergodic theory and appication to nonconvex homogenization

We establish some ergodic theorems with the view to obtaining a convergence result of sequences of random Radon measures. We also give an application in stochastic homogenization of nonconvex integral functionals.     

Homogenization and propagation of chaos to a nonlinear diffusion with sticky reflection

Summary We study a process reflecting in a domain. The process follows Wentzell non-sticky boundary conditions while being adsorbed at the boundary at a certain rate with respect to local time and desorbed at a rate with respect to natural time. We show that when the rates go to infinity with a converging ratio, the process converges to a process with sticky reflection having the limit ratio as the sojourn coefficient. We then study a mean-field interacting system of such particles. We show propagation of chaos to a nonlinear diffusion with sticky reflection when we perform this homogenization simultaneously as the number of particles goes to infinity.     

Deterministic homogenization of Vlasov equations

We address the homogenization of the Vlasov equations using the sigma-convergence method. Assuming that the electromagnetic field is strong and is highly oscillating in both space and time, we derive the homogenization result. We then study some special cases leading to already known results.     

Backward problems for stochastic differential equations on the Sierpinski gasket

In this paper, we study the non-linear backward problems (with deterministic or stochastic durations) of stochastic differential equations on the Sierpinski gasket. We prove the existence and uniqueness of solutions of backward stochastic differential equations driven by Brownian martingale (defined in Section 2) on the Sierpinski gasket constructed by S. Goldstein and S. Kusuoka. The exponential integrability of quadratic processes for martingale additive functionals is obtained, and as an application, a Feynman–Kac representation formula for weak solutions of semi-linear parabolic PDEs on the gasket is also established.     

Homogenization of hyperbolic damped stochastic wave equations

For a family of linear hyperbolic damped stochastic wave equations with rapidly oscillating coefficients, we establish the homogenization result by using the sigma-convergence method. This is achieved under an abstract assumption covering special cases like the periodicity, the almost periodicity and some others.     

Multiscale problems and homogenization for second-order Hamilton–Jacobi equations

We prove a general convergence result for singular perturbations with an arbitrary number of scales of fully nonlinear degenerate parabolic PDEs. As a special case we cover the iterated homogenization for such equations with oscillating initial data. Explicit examples, among others, are the two-scale homogenization of quasilinear equations driven by a general hypoelliptic operator and the n-scale homogenization of uniformly parabolic fully nonlinear PDEs.     

Homogenization of the oscillating Dirichlet boundary condition in general domains

We prove the homogenization of the Dirichlet problem for fully nonlinear uniformly elliptic operators with periodic oscillation in the operator and in the boundary condition for a general class of smooth bounded domains. This extends the previous results of Barles and Mironescu (2012) [4] in half spaces. We show that homogenization holds despite a possible lack of continuity in the homogenized boundary data. The proof is based on a comparison principle with partial Dirichlet boundary data which is of independent interest.     

SPDEs driven by space-time white noise in high dimensions: absolute continuity of the law and convergence of solutions

In this paper, we consider stochastic partial differential equations driven by space-time white noise in high dimensions. We prove, under reasonable conditions, that the law of the solution admits a density with respect to Lebesgue measure. The stability of the equation, as the higher order differential operator tends to zero, is also studied in the paper.     

Singular homogenization with stationary in time and periodic in space coefficients

We study the homogenization problem for a random parabolic operator with coefficients rapidly oscillating in both the space and time variables and with a large highly oscillating nonlinear potential, in a general stationary and mixing random media, which is periodic in space. It is shown that a solution of the corresponding Cauchy problem converges in law to a solution of a limit stochastic PDE.     

Limit Theorem for Controlled Backward SDEs and Homogenization of Hamilton–Jacobi–Bellman Equations

We prove a convergence theorem for a family of value functions associated with stochastic control problems whose cost functions are defined by backward stochastic differential equations. The limit function is characterized as a viscosity solution to a fully nonlinear partial differential equation of second order. The key assumption we use in our approach is shown to be a necessary and sufficient assumption for the homogenizability of the control problem. The results generalize partially homogenization problems for Hamilton–Jacobi–Bellman equations treated recently by Alvarez and Bardi by viscosity solution methods. In contrast to their approach, we use mainly probabilistic arguments, and discuss a stochastic control interpretation for the limit equation.     

Initial value problems for singular and nonsmooth second order differential inclusions

We study the existence of W^2,1 solutions for singular and nonsmooth initial value problems of the type whereT > 0 is a priori fixed, x₀, x₁ ∈ ?, and F: [0, T ] × ? → ??(?) \ {??} is a multivalued mapping. (© 2007 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Quasilinear parabolic stochastic partial differential equations: Existence,uniqueness

We present a direct approach to existence and uniqueness of strong (in the probabilistic sense) and weak (in the PDE sense) solutions to quasilinear stochastic partial differential equations, which are neither monotone nor locally monotone. The proof of uniqueness is very elementary, based on a new method of applying Itô’s formula for the $L^1$-norm. The proof of existence relies on a recent regularity result and is direct in the sense that it does not rely on the stochastic compactness method.     

Computing conditional expectations of multidimensional diffusion processes

We study multidimensional diffusion processes and give an explicit representation for their conditional expectation. Starting from the solution formula for one dimensional stochastic differential equations found in Lanconelli and Proske [8], we compute the conditional expectation of a certain class of multidimensional diffusions without resorting to the Markov property of the process and therefore without requiring an explicit expression for the semi group associated to it.     

Asymptotic distributions of solutions of ordinary differential equations with wide band noise inputs: approximate invariant measures

Systems of Wick stochastic differential equations are studied. Using an estimate on the Wick product we apply Picard iteration to prove a general existence and uniqueness theorem for systems of Wick stochastic differential equations. We also show the solution is stable with respect to perturbations of the noise. This result is used to show that the solution of a linear system of Wick stochastic differential equations driven by smoothed Brownian motion tends to the solution of the corresponding It equation as the smoothed process tends to Brownian motion     

Propagation of Electromagnetic Waves in Non-Homogeneous Media

We consider electromagnetic waves propagating in a periodic medium characterized by two small scales. We perform the corresponding homogenization process, relying on the modelling by Maxwell partial differential equations.