An analytic approach to the ergodic theory of a stochastic variational inequality

DOI10.1016/J.CRMA.2012.03.011zbMATH Open1248.60078arXiv1112.4124OpenAlexW2963633593MaRDI QIDQ424744FDOQ424744

Authors: Alain Bensoussan, Laurent Mertz 

Publication date: 4 June 2012

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1112.4124

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Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• On a class of partial differential equations with nonlocal Dirichlet boundary conditions
• Title not available (Why is that?)
• Degenerate Dirichlet problems related to the invariant measure of elasto-plastic oscillators

Cited In (7)

• Free boundary value problems and hjb equations for the stochastic optimal control of elasto-plastic oscillators
• Stochastic dynamics of fluid–structure interaction in turbulent thermal convection
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• A Piecewise Deterministic Markov Process Approach Modeling a Dry Friction Problem with Noise
• Nonlocal boundary value problems of a stochastic variational inequality modeling an elasto-plastic oscillator excited by a filtered noise
• Exponential mixing of constrained random dynamical systems via controllability conditions
• Asymptotic analysis of stochastic variational inequalities modeling an elasto-plastic problem with vanishing jumps

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