Journal of Applied Mathematics and Stochastic Analysis
Volume 2006 (2006), Article ID 37643, 17 pages
doi:10.1155/JAMSA/2006/37643
Abstract
We study the homogenization of reflected SDEs with locally
periodic coefficients and highly oscillating drift. Our method is
entirely probabilistic, and builds upon earlier works of Tanaka,
Benchérif-Madani and Pardoux, and Bensoussan et al
We extend, to Tanaka's theorem locally periodic case.