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<p>This paper investigates the averaging principle for multiscale forward-backward stochastic differential equations, where the slow components consist of a forward equation and a backward equation. We prove that the slow components converge strongly to the averaged one with order of convergence 1/2 via the technique of Poisson equation. As an application, we also establish an averaging result of related quasi-linear parabolic PDEs.</p>

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Averaging Principle for Multiscale Forward-backward Stochastic Differential Equations, with Application to Quasi-linear pde’s

  • 期刊论文

  • 发表日期：

    2025年12月8日

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  • Qing Ji,
  • Jicheng Liu

摘要

This paper investigates the averaging principle for multiscale forward-backward stochastic differential equations, where the slow components consist of a forward equation and a backward equation. We prove that the slow components converge strongly to the averaged one with order of convergence 1/2 via the technique of Poisson equation. As an application, we also establish an averaging result of related quasi-linear parabolic PDEs.