Degenerate Dirichlet Problems Related to the Ergodic Property of an Elasto-Plastic Oscillator Excited by a Filtered White Noise

Abstract

A stochastic variational inequality is proposed to model an elasto-plastic oscillator excited by a filtered white noise. We prove the ergodic properties of the process and characterize the corresponding invariant measure. This extends Bensoussan-Turi's method (Degenerate Dirichlet Problems Related to the Invariant Measure of Elasto-Plastic Oscillators, AMO, 2008) with a significant additional difficulty of increasing the dimension. Two points boundary value problem in dimension 1 is replaced by elliptic equations in dimension 2. In the present context, Khasminskii's method (Stochastic Stability of Differential Equations, Sijthoff and Noordhof,1980) leads to the study of degenerate Dirichlet problems with partial differential equations and nonlocal boundary conditions.