
Stochastic Homogenization of Reflected Stochastic Differential Equations
Rhodes, Rémi (2010), Stochastic Homogenization of Reflected Stochastic Differential Equations, Electronic Journal of Probability, 15, Paper 31, p. 989-1023
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Article accepté pour publication ou publiéDate
2010Journal name
Electronic Journal of ProbabilityVolume
15Number
Paper 31Pages
989-1023
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Rhodes, RémiAbstract (EN)
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.Subjects / Keywords
local time; Skorohod problem; random medium; reflected stochastic differential equation; functional limit theorem; homogenizationRelated items
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