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

DOI10.1016/J.CRMA.2012.03.011MaRDI QIDQ424744zbMATHOpenAlexFDO

Authors Alain Bensoussan, Laurent Mertz

Publication date 4 June 2012

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

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

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)

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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Cites work

• scientific article; zbMATH DE number 3773426 (Why is no real title available?)
• Degenerate Dirichlet problems related to the invariant measure of elasto-plastic oscillators
• On a class of partial differential equations with nonlocal Dirichlet boundary conditions

Cited in

(8)

• A Piecewise Deterministic Markov Process Approach Modeling a Dry Friction Problem with Noise
• Penalization of a stochastic variational inequality modeling an elasto-plastic problem with noise
• Asymptotic analysis of stochastic variational inequalities modeling an elasto-plastic problem with vanishing jumps
• Exponential mixing of constrained random dynamical systems via controllability conditions
• Nonlocal boundary value problems of a stochastic variational inequality modeling an elasto-plastic oscillator excited by a filtered noise
• 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
• scientific article; zbMATH DE number 850056 (Why is no real title available?)

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