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Penalization of a stochastic variational inequality modeling an elasto-plastic problem with noise

Abstract : In a recent work of A.Bensoussan and J.Turi, it has been shown that the solution of a stochastic variational inequality modeling an elasto-plastic oscillator excited by a white noise has a unique invariant probability measure. The latter is useful for engineering in order to evaluate statistics of plastic deformations for large times of a certain type of mechanical structure. However, in terms of mathematics, not much is known about its regularity properties. From then on, an interesting mathematical question is to determine them. Therefore, in order to investigate this question, we introduce in this paper approximate solutions of the stochastic variational inequality by a penalization method. The idea is simple: the inequality is replaced by an equation with a nonlinear additional term depending on a parameter n penalizing the solution whenever it goes beyond a prespeci ed area. In this context, the dynamics is smoother. In a rst part, we show that the penalized process converges towards the original solution of the aforementioned inequality on any finite time interval as n goes to infinity. Then, in a second part, we justify that for each n it has at least one invariant probability measure. We conjecture that it is unique, but unfortunately we are not able to prove it. Finally, we provide numerical experiments in support of our conjecture. Moreover, we give an empirical convergence rate of the sequence of measures related to the penalized process.
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Contributor : Mathieu LAURIERE Connect in order to contact the contributor
Submitted on : Thursday, April 24, 2014 - 11:42:02 PM
Last modification on : Saturday, June 25, 2022 - 11:13:43 PM
Long-term archiving on: : Monday, April 10, 2017 - 4:44:15 PM


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  • HAL Id : hal-00980895, version 2


Mathieu Laurière, Laurent Mertz. Penalization of a stochastic variational inequality modeling an elasto-plastic problem with noise. [University works] 2014. ⟨hal-00980895v2⟩



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