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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- info:eu-repo/semantics/article
- Journal articles
- Sweeping process
- differential inclusions
- stochastic differential equations
- Euler scheme
- 34A60 ; 65L20 ; 60H10
- [MATH.MATH-AP]Mathematics [math]/Analysis of PDEs [math.AP]
- [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
- [MATH.MATH-NA]Mathematics [math]/Numerical Analysis [math.NA]