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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 |
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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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 | Fully nonlinear parabolic equations | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Hamilton-Jacobi-Bellman equations | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | backward stochastic differential equations | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | nonlinear Feynman-Kac formula | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | homogenization | |||||
主題Scheme | Other | |||||
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 | 415 | |||||
主題Scheme | NDC | |||||
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 |