Displaying similar documents to “Locally periodic homogenization of reflected diffusion.”

Numerical schemes for multivalued backward stochastic differential systems

Lucian Maticiuc, Eduard Rotenstein (2012)

Open Mathematics

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We define approximation schemes for generalized backward stochastic differential systems, considered in the Markovian framework. More precisely, we propose a mixed approximation scheme for the following backward stochastic variational inequality: d Y t + F ( t , X t , Y t , Z t ) d t ∈ ∂ φ ( Y t ) d t + Z t d W t , where ∂φ is the subdifferential operator of a convex lower semicontinuous function φ and (X t)t∈[0;T] is the unique solution of a forward stochastic differential equation. We use an Euler type scheme for the system of decoupled forward-backward...

Homogenization of a semilinear parabolic PDE with locally periodic coefficients: a probabilistic approach

Abdellatif Benchérif-Madani, Étienne Pardoux (2007)

ESAIM: Probability and Statistics

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In this paper, a singular semi-linear parabolic PDE with locally periodic coefficients is homogenized. We substantially weaken previous assumptions on the coefficients. In particular, we prove new ergodic theorems. We show that in such a weak setting on the coefficients, the proper statement of the homogenization property concerns viscosity solutions, though we need a bounded Lipschitz terminal condition.