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A Stochastic Representation for Fully Nonlinear PDEs and Its Application to Homogenization
http://hdl.handle.net/2261/7524
http://hdl.handle.net/2261/7524b17f9c93-01e9-4117-a62c-c957aa349145
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
jms120306.pdf (217.0 kB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2008-03-04 | |||||
| タイトル | ||||||
| タイトル | A Stochastic Representation for Fully Nonlinear PDEs and Its Application to Homogenization | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Fully nonlinear parabolic equations | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Hamilton-Jacobi-Bellman equations | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | backward stochastic differential equations | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | nonlinear Feynman-Kac formula | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | homogenization | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_6501 | |||||
| タイプ | departmental bulletin paper | |||||
| 著者 |
Ichihara, Naoyuki
× Ichihara, Naoyuki |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | 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. | |||||
| 書誌情報 |
Journal of mathematical sciences, the University of Tokyo 巻 12, 号 3, p. 467-492, 発行日 2005-11-17 |
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| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 13405705 | |||||
| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11021653 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 415 | |||||
| Mathmatical Subject Classification | ||||||
| 60H30(MSC2000) | ||||||
| Mathmatical Subject Classification | ||||||
| 35B27(MSC2000) | ||||||
| Mathmatical Subject Classification | ||||||
| 93E20(MSC2000) | ||||||
| 出版者 | ||||||
| 出版者 | Graduate School of Mathematical Sciences, The University of Tokyo | |||||
| 原稿受領日 | ||||||
| 2005-04-28 | ||||||
