Plug-and-Play methods for image restoration are iterative algorithms that solve a variational problem to restore an image. These algorithms are known to be flexible to changes of degradation and to perform state-of-the-art restoration. Recently, a lot of efforts have been made to explore new algorithms to solve this variational problem based on the Plug-and-Play or REgularization by Denoising (RED) frameworks, such as SNORE that is a converging stochastic gradient descent algorithm. A variant of this algorithm, named SNORE Prox, reaches state-of-the-art performances, especially for inpainting tasks. However, the convergence of SNORE Prox, that can be seen as a stochastic proximal gradient descent, has not been analyzed so far. In this paper, we prove the convergence of SNORE Prox under reasonable non-convex assumptions.