On the convergence of partial differential equations of parabolic type with rapidly oscillating coefficients to stochastic partial differential equations

In this paper we consider the convergence of the solutions to a sequence of partial differential equations of parabolic type with rapidly oscillating coefficients to the solutions of a stochastic partial differential equation. We use the martingale method and the characteristic functional to prove that the martingale problem has a unique solution. Our emphasis is in treating strongly mixing noises.This research was partially supported by Stifting Volkswagenwerk through Forschungszentrum BiBoS Universität Bielefeld and Grant-in-Aid for General Scientific Research (C) 61540162, the Ministry of Education, Science and Culture (Japan). Presented at the International Workshop on Diffusion Approximations and Related Topics, IISA, Laxenburg, Austria, 29 June to 3 July 1987.