Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs
2021
Abstract In this paper, 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 -stochastic analysis argument. As a byproduct, we also establish the averaging principle for stochastic differential equations driven by G -Brownian motion ( G -SDEs) with two time-scales. The results extend Khasminskii’s averaging principle to nonlinear case.
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