Averaging of Backward Stochastic Differential Equations and Homogenization of Partial Differential Equations with Periodic Coefficients |
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Authors: | El Hassan Essaky |
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Institution: | Département de Mathématiques , Université Cadi Ayyad, Faculté des Sciences Semlalia , Marrakech, Morocco |
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Abstract: | Abstract We study the limit of the solutions of systems of semi-linear partial differential equations (PDEs) of second order of parabolic type, with rapidly oscillating periodic coefficients, a singular drift, and singular coefficients of the zero and second order terms. Our basic tool is the approach given by Pardoux 14
Pardoux , E. 1999 . Homogenization of linear and semilinear second order parabolic PDEs with periodic coefficients: a probabilistic approach . J. Funct. Anal. 167 : 498 – 520 . CSA] CROSSREF] Crossref], Web of Science ®] , Google Scholar]]. In particular, we use the weak convergence of an associated backward stochastic differential equation (BSDE). |
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Keywords: | BSDEs Homogenization Meyer-Zheng topology PDEs Weak convergence |
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