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Homogenization of reflected semilinear PDEs with nonlinear Neumann boundary condition
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Auguste Aman
Published/Copyright:
September 9, 2010
Abstract
We study the homogenization problem of semilinear reflected partial differential equations (reflected PDEs for short) with nonlinear Neumann boundary condition, locally periodic coefficients and nonlinear term. The proof is fully probabilistic and uses weak convergence of reflected generalized backward stochastic differential equations (reflected GBSDEs in short).
Keywords.: Reflected backward stochastic differential equations; homogenization of PDEs; viscosity solution of PDEs; obstacle problem
Received: 2009-04-30
Accepted: 2009-10-04
Published Online: 2010-09-09
Published in Print: 2010-September
© de Gruyter 2010
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- Existence and optimality conditions in stochastic control of linear BSDEs
- On random equations and applications to random fixed point theorems
- Minimum distance parameter estimation for a stochastic equation with additive fractional Brownian sheet
- Homogenization of reflected semilinear PDEs with nonlinear Neumann boundary condition
- Optimality conditions of controlled backward doubly stochastic differential equations
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Keywords for this article
Reflected backward stochastic differential equations;
homogenization of PDEs;
viscosity solution of PDEs;
obstacle problem
Articles in the same Issue
- Existence and optimality conditions in stochastic control of linear BSDEs
- On random equations and applications to random fixed point theorems
- Minimum distance parameter estimation for a stochastic equation with additive fractional Brownian sheet
- Homogenization of reflected semilinear PDEs with nonlinear Neumann boundary condition
- Optimality conditions of controlled backward doubly stochastic differential equations
- Existence and uniqueness of solutions of stochastic functional differential equations
