Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures

被引:24
作者
Buckdahn, R [1 ]
Hu, Y
机构
[1] Univ Bretagne Occidentale, Dept Math, F-29285 Brest, France
[2] Univ Blaise Pascal, Lab Math Appl, F-63177 Aubiere, France
关键词
homogenizations; systems of quasilinear parabolic PDEs; forward-backward SDEs;
D O I
10.1016/S0362-546X(97)00505-1
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
[No abstract available]
引用
收藏
页码:609 / 619
页数:11
相关论文
共 7 条
[1]  
Bensoussan A., 1978, ASYMPTOTIC ANAL PERI
[2]  
BUCKDAHN R, PROBABILISTIC APPROA
[3]   Backward stochastic differential equations in finance [J].
El Karoui, N ;
Peng, S ;
Quenez, MC .
MATHEMATICAL FINANCE, 1997, 7 (01) :1-71
[4]  
Jikov V. V., 1991, HOMOGENIZATION DIFFE
[5]   SOLVING FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL-EQUATIONS EXPLICITLY - A 4 STEP SCHEME [J].
MA, J ;
PROTTER, P ;
YONG, JM .
PROBABILITY THEORY AND RELATED FIELDS, 1994, 98 (03) :339-359
[6]  
PARDOUX E, 1992, LECT NOTES CONTR INF, V176, P200
[7]   ADAPTED SOLUTION OF A BACKWARD STOCHASTIC DIFFERENTIAL-EQUATION [J].
PARDOUX, E ;
PENG, SG .
SYSTEMS & CONTROL LETTERS, 1990, 14 (01) :55-61