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Stochastic Homogenization of Reflected Stochastic Differential Equations


 
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1. Title Title of document Stochastic Homogenization of Reflected Stochastic Differential Equations
 
2. Creator Author's name, affiliation, country Remi Rhodes; Université Paris-Dauphine; France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) homogenization; functional limit theorem; reflected stochastic differential equation; random medium; Skorohod problem; local time
 
3. Subject Subject classification 60F17; 60K37; 74Q99
 
4. Description Abstract We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to analyze both the effective Brownian motion and the effective local time. We prove that the limiting process is a reflected non-standard Brownian motion. Beyond the result, this problem is known as a prototype of non-translation invariant problem making the usual method of the "environment as seen from the particle" inefficient.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2010-06-28
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/776
 
10. Identifier Digital Object Identifier 10.1214/EJP.v15-776
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 15
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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