Averaging of singularly perturbed controlled stochastic differential equations

被引：27

作者：

Borkar, Vivek

Gaitsgory, Vladimir

机构：

[1] Tata Inst Fundamental Res, Sch Technol & Comp Sci, Bombay 400005, Maharashtra, India

[2] Univ S Australia, Sch Math, Mawson Lakes, SA 5095, Australia

来源：

APPLIED MATHEMATICS AND OPTIMIZATION | 2007年 / 56卷 / 02期

关键词：

singularly perturbed controlled stochastic differential equations; occupational measures; averaging method; limit occupational measures sets; approximation of slow motions;

D O I：

10.1007/s00245-007-0893-6

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

An averaged system to approximate the slow dynamics of a two time-scale nonlinear stochastic control system is introduced. Validity of the approximation is established. Special cases are considered to illustrate the general theory.

引用

页码：169 / 209

页数：41

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