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Homogenization problem for stochastic partial differential equations of Zakai type
Authors:Naoyuki Ichihara
Institution:1. naoyuki@ms.u-tokyo.ac.jp
Abstract:We discuss homogenization for stochastic partial differential equations (SPDEs) of Zakai type with periodic coefficients appearing typically in nonlinear filtering problems. We prove such homogenization by two different approaches. One is rather analytic and the other is comparatively probabilistic.
Keywords:Homogenization  Stochastic partial differential equations  Nonlinear filtering  Backward stochastic differential equations  60H15  35R60  93E11
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