An analytic approach to the ergodic theory of stochastic variational inequalities
Analysis of PDEs
2011-12-21 v1 Probability
Classical Physics
Abstract
In an earlier work made by the first author with J. Turi (Degenerate Dirichlet Problems Related to the Invariant Measure of Elasto-Plastic Oscillators, AMO, 2008), the solution of a stochastic variational inequality modeling an elasto-perfectly-plastic oscillator has been studied. The existence and uniqueness of an invariant measure have been proven. Nonlocal problems have been introduced in this context. In this work, we present a new characterization of the invariant measure. The key finding is the connection between nonlocal PDEs and local PDEs which can be interpreted with short cycles of the Markov process solution of the stochastic variational inequality.
Keywords
Cite
@article{arxiv.1112.4124,
title = {An analytic approach to the ergodic theory of stochastic variational inequalities},
author = {Alain Bensoussan and Laurent Mertz},
journal= {arXiv preprint arXiv:1112.4124},
year = {2011}
}