LIMIT OF A PARABOBOLIC PDE
SOLUTION DEPENDING ON TWO PARAMETERS
Alioune Coulibaly1, Alassane Diédhiou2, Clément Manga3
1,2,3Department of Mathematics
Assane SECK University of Ziguinchor
BP 523 - Ziguinchor, SENEGAL
Abstract. We study the behaviour of the parabolic partial differential equation (PDE) solution which depends on two parameters, when the large deviations parameter $\varepsilon$ tends more quickly than the homogenization's one $\delta$, to zero. In other words, we assume that

\begin{displaymath}\lim_{\epsilon,\delta\longrightarrow 0}\frac{\delta}{\epsilon}=+\infty.\end{displaymath}

AMS Subject Classification: 60H15, 35K, 35B27
Key Words and Phrases: homogenization, large deviations principle, viscosity solution, stochastic differential equation, backward stochastic differential equation


Download full article from here (pdf format).

DOI: 10.12732/ijam.v29i3.6

Volume: 29
Issue: 3
Year: 2016