Title :

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

Author(s) :

Bernicot, Frederic [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Venel, Juliette [Auteur]
Laboratoire de Mathématiques et leurs Applications de Valenciennes - EA 4015 [LAMAV]

Journal title :

Journal of Differential Equations

Pages :

1195-1224

Publisher :

Elsevier

Publication date :

2011

ISSN :

0022-0396

English keyword(s) :

Sweeping process
differential inclusions
stochastic differential equations
Euler scheme

HAL domain(s) :

Mathématiques [math]/Equations aux dérivées partielles [math.AP]
Mathématiques [math]/Probabilités [math.PR]
Mathématiques [math]/Analyse numérique [math.NA]

English abstract : [en]

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 ...
Show more >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.Show less >

Language :

Anglais

Popular science :

Non

Comment :

30 pages

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL