Auxiliary SDEs for homogenization of quasilinear PDEs with periodic coefficients

Details Auxiliary SDEs for homogenization of quasilinear PDEs with periodic coefficients Auxiliary SDEs for homogenization of quasilinear PDEs with periodic coefficients

2004-10-06

arxiv.org/abs/math/0410163v1

Annals of Probability 2004, Vol. 32, No. 3B, 2305-2361

Mathematics

Probability

Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imsta

Scientific paper

10.1214/009117904000000144

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.''

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