Existence of limit occupational measures set used for averaging of singularly perturbed controlled stochastic differential equations

被引：0

作者：

Borkar, Vivek ^{[1
]}

Gaitsgory, Vladimir

机构：

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

来源：

PROCEEDINGS OF THE 45TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-14 | 2006年

关键词：

D O I：

10.1109/CDC.2006.377570

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We establish that, under certain conditions, the set of occupational measures as well as the set of mathematical expectations of occupational measures generated by the admissible controls and the corresponding solutions of a controlled stochastic differential equation (CSDE) converge (with the time horizon tending to infinity) to a set called limit occupational measures set (LOMS) and we show that this limit set coincides with the set of stationary marginal distributions of the CSDE. We also demonstrate the applicability of our results for averaging of singularly perturbed CSDE.

引用

页码：326 / 331

页数：6

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