Stochastic perturbation of sweeping process and a convergence result for an associated numerical scheme
Analysis of PDEs
2014-03-31 v1 Numerical Analysis
Probability
Abstract
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 and methods concerning the reflection of a Brownian motion. In addition, we prove convergence results for a Euler scheme, discretizing theses stochastic differential inclusions.
Keywords
Cite
@article{arxiv.1001.3128,
title = {Stochastic perturbation of sweeping process and a convergence result for an associated numerical scheme},
author = {Frederic Bernicot and Juliette Venel},
journal= {arXiv preprint arXiv:1001.3128},
year = {2014}
}
Comments
30 pages