Euler scheme for solving a class of stochastic differential variational inequalities with some applications

Abstract

In this paper, we introduce and study Euler scheme for solving a class of stochastic differential variational inequalities (SDVIs). We show the convergence of the sequence construed by this Euler scheme for solving SDVIs under some mild conditions. Moreover, we apply the obtained results to simulate the electrical circuits with diodes and the collapse of the bridge problems in stochastic environment.