Stochastic perturbation of sweeping process and a convergence result for an associated numerical scheme
arXiv:1001.3128 · doi:10.1137/120882044
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.
arXiv comment30 pages