科学研究
报告题目:

Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs

报告人:

王法磊 副教授(山东大学)

报告时间:

报告地点:

腾讯会议 ID:992 380 868

报告摘要:

In this talk, we prove a convergence theorem for singular perturbations problems for a class of fully nonlinear parabolic partial differential equations (PDEs) with ergodic structures. The limit function is represented as the viscosity solution to a fully nonlinear degenerate PDEs. Our approach is mainly based on G-ergodic theory. Note that the stochastic differential equations driven by G-Brownian motion (G-SDEs) have the unique invariant and ergodic expectations. However, the invariant expectations may not coincide with the ergodic expectations, which is different from the classical case. As a byproduct, we also establish the averaging principle for stochastic differential equations driven byG-Brownian motion (G-SDEs) with two time-scales. The results extend Khasminskii’s averaging principle to nonlinear case.