Auxiliary SDES for homogenization of quasilinear PDES with periodic coefficients

• François Delarue ^[1]
  1. [1] Université Denis Diderot

     Université Denis Diderot

     París, Francia

     
• Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 32, Nº. 3, 2, 2004, págs. 2305-2361
• Idioma: inglés
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• Resumen

  • We study the homogenization property of systems of quasi-linear PDEs of parabolic type with periodic coefficients, highly oscillating drift and highly oscillating nonlinear term. To this end, we propose a probabilistic approach based on the theory of forward–backward stochastic differential equations and introduce the new concept of “auxiliary SDEs.”