BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization

Antoine Lejay

Stochastic Processes and their Applications, 2002, vol. 97, issue 1, 1-39

Abstract: Backward stochastic differential equations (BSDE) also gives the weak solution of a semi-linear system of parabolic PDEs with a second-order divergence-form partial differential operator and possibly discontinuous coefficients. This is proved here by approximation. After that, a homogenization result for such a system of semi-linear PDEs is proved using the weak convergence of the solution of the corresponding BSDEs in the S-topology.

Keywords: BSDE; Divergence-form; operator; Homogenization; Random; media; Periodic; media (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (5)

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