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

Abstract

30 pagesInternational audienceHere 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

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HAL Descartes

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Last time updated on 14/04/2021

This paper was published in HAL Descartes.

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