Averaging for SDE-BSDE with null recurrent fast component Application to homogenization in a non periodic media - Archive ouverte HAL Access content directly
Journal Articles Stochastic Processes and their Applications Year : 2017

Averaging for SDE-BSDE with null recurrent fast component Application to homogenization in a non periodic media

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Abstract

We establish an averaging principle for a family of solutions $(X^{\varepsilon}, Y^{\varepsilon})$ $ :=$ $(X^{1,\,\varepsilon},\, X^{2,\,\varepsilon},\, Y^{\varepsilon})$ of a system of SDE-BSDE with a null recurrent fast component $X^{1,\,\varepsilon}$. In contrast to the classical periodic case, we can not rely on an invariant probability and the slow forward component $X^{2,\,\varepsilon}$ cannot be approximated by a diffusion process. On the other hand, we assume that the coefficients admit a limit in a \`{C}esaro sense. In such a case, the limit coefficients may have discontinuity. We show that we can approximate the triplet $(X^{1,\,\varepsilon},\, X^{2,\,\varepsilon},\, Y^{\varepsilon})$ by a system of SDE-BSDE $(X^1, X^2, Y)$ where $X := (X^1, X^2)$ is a Markov diffusion which is the unique (in law) weak solution of the averaged forward component and $Y$ is the unique solution to the averaged backward component. This is done with a backward component whose generator depends on the variable $z$. As application, we establish an homogenization result for semilinear PDEs when the coefficients can be neither periodic nor ergodic. We show that the averaged BDSE is related to the averaged PDE via a probabilistic representation of the (unique) Sobolev $ W_{d+1,\text{loc}}^{1,2}(\R_+\times\R^d)$--solution of the limit PDEs. Our approach combines PDE methods and probabilistic arguments which are based on stability property and weak convergence of BSDEs in the S-topology.
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Dates and versions

hal-01188449 , version 1 (30-08-2015)

Identifiers

Cite

Khaled Bahlali, A Elouaflin, E Pardoux. Averaging for SDE-BSDE with null recurrent fast component Application to homogenization in a non periodic media. Stochastic Processes and their Applications, 2017, ⟨10.1016/j.spa.2016.08.001⟩. ⟨hal-01188449⟩
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