Existence and convergence for stochastic differential variational inequalities

Authors : Fei Guan, Van Thien Nguyen, Zijia Peng

Pages : 1461-1479

Doi:10.15672/hujms.1141495

View : 755 | Download : 965

Publication Date : 2023-11-03

Article Type : Research Paper

Abstract :In this paper, we consider a class of stochastic differential variational inequalities (for short, SDVIs) consisting of an ordinary differential equation and a stochastic variational inequality. The existence of solutions to SDVIs is established under the assumption that the leading operator in the stochastic variational inequality is $P$-function and $P_{0}$-function, respectively. Then, by using the sample average approximation and time stepping methods, two approximated problems corresponding to SDVIs are introduced and convergence results are obtained.
Keywords : Stochastic differential variational inequality, P function, convergence, P 0 function