Averaging of singularly perturbed controlled stochastic differential equations

被引：28
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
收藏
页码：169 / 209
页数：41
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