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arXiv · 1112.4124

An analytic approach to the ergodic theory of stochastic variational inequalities

Alain Bensoussan·Laurent Mertz
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Abstract

In an earlier work made by the first author with J. Turi (Degenerate Dirichlet Problems Related to the Invariant Measure of Elasto-Plastic Oscillators, AMO, 2008), the solution of a stochastic variational inequality modeling an elasto-perfectly-plastic oscillator has been studied. The existence and uniqueness of an invariant measure have been proven. Nonlocal problems have been introduced in this context. In this work, we present a new characterization of the invariant measure. The key finding is the connection between nonlocal PDEs and local PDEs which can be interpreted with short cycles of the Markov process solution of the stochastic variational inequality.

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Alain Bensoussan, Laurent Mertz. 2011-12-18. An analytic approach to the ergodic theory of stochastic variational inequalities. https://arxiv.org/abs/1112.4124

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