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arXiv · 1001.3128

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

Frederic Bernicot·Juliette Venel
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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.

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Frederic Bernicot, Juliette Venel. 2010-01-18. Stochastic perturbation of sweeping process and a convergence result for an associated numerical scheme. https://doi.org/10.1137/120882044

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