A Stochastic Representation for Fully Nonlinear PDEs and Its Application to Homogenization

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概要

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• We establish a stochastic representation formula for solutions to fully nonlinear second-order partial differential equations of parabolic type. For this purpose, we introduce forward-backward stochastic differential equations with random coefficients. We next apply them to homogenization of fully nonlinear parabolic equations. As a byproduct, we obtain an estimate concerning the convergence rate of solutions. The results partially generalize homogenization of Hamilton-Jacobi-Bellman equations studied by R. Buckdahn and the author.

• 東京大学の論文

著者

• Ichihara Naoyuki

  Department Of Mathematical Science Graduate School Of Mathematical Science Osaka University

関連論文

• A Stochastic Representation for Fully Nonlinear PDEs and Its Application to Homogenization

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