Auxiliary SDES for homogenization of quasilinear PDES with periodic coefficients
François Delarue · The Annals of Probability · 2004
We study the homogenization property of systems of quasi-linear PDEs of parabolic type with periodic coefficients, highly oscillating drift and highly oscillating nonlinear term. To this end, we propose a probabilistic approach based on the theory of forward–backward stochastic differential equations and introduce the new concept of “auxiliary SDEs.”