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

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

2010-01-18

arxiv.org/abs/1001.3128v1

Mathematics

Analysis of PDEs

30 pages

Scientific paper

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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