Stochastic perturbation of sweeping process and a convergence result for an associated numerical scheme

JOURNAL OF DIFFERENTIAL EQUATIONS

卷:251

Article

Bernicot, Frederic¹  Venel, Juliette² 

[1] Univ Lille 1, CNRS, Lab Math Paul Painleve, F-59655 Villeneuve Dascq, France

[2] Univ Valenciennes & Hainaut Cambresis, LAMAV, F-59313 Valenciennes 9, France

关键词: Sweeping process;    Differential inclusions;    Stochastic differential equations;    Euler scheme;   

DOI  :  10.1016/j.jde.2011.03.010

来源: Elsevier

【 摘 要 】

Here we present well-posedness results for first order stochastic differential inclusions, more precisely for sweeping process with a stochastic perturbation. These results are provided in combining both deterministic sweeping process theory (recently developed in Edmond and Thibault (2005, 2006) [18,19]) and methods concerning the reflection of a Brownian motion (Lions and Sznitman, 1984 [23] and Saisho, 1987 [31]). In addition, we prove convergence results for an Euler scheme, discretizing these stochastic differential inclusions. (C) 2011 Elsevier Inc. All rights reserved.

【 授权许可】

Free