Locally periodic homogenization of reflected diffusion

Aboubakary Diakhaby and Youssef Ouknine

International Journal of Stochastic Analysis, 2006, vol. 2006, 1-17

Abstract:

We study the homogenization of reflected SDEs with locally periodic coefficients and highly oscillating drift. Our method is entirely probabilistic, and builds upon earlier works of Tanaka, Benchérif-Madani and Pardoux, and Bensoussan et al We extend, to Tanaka's theorem locally periodic case.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:037643

DOI: 10.1155/JAMSA/2006/37643

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