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Stochastic Homogenization of Reflected Stochastic Differential Equations

机译:反射随机微分方程的随机均质化

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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.
机译:当有必要分析有效布朗运动和有效局部时间时,我们研究具有固定系数的半平面上反射随机微分方程的泛函极限定理(同质化)。我们证明了限制过程是反映的非标准布朗运动。除了结果之外,该问题被称为非翻译不变性问题的原型,这使得“从粒子看的环境”的常规方法效率低下。

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