Averaging of singularly perturbed controlled stochastic differential equations

Vivek Borkar; Vladimir Gaitsgory

doi:10.1007/s00245-007-0893-6

Averaging of singularly perturbed controlled stochastic differential equations

Vivek Borkar^*, Vladimir Gaitsgory

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

26 Citations (Scopus)

Abstract

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

Original language	English
Pages (from-to)	169-209
Number of pages	41
Journal	Applied Mathematics and Optimization
Volume	56
Issue number	2
DOIs	https://doi.org/10.1007/s00245-007-0893-6
Publication status	Published - Sep 2007
Externally published	Yes

Keywords

Approximation of slow motions
Averaging method
Limit occupational measures sets
Occupational measures
Singularly perturbed controlled stochastic differential equations

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10.1007/s00245-007-0893-6

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abstract = "An averaged system to approximate the slow dynamics of a two timescale nonlinear stochastic control system is introduced. Validity of the approximation is established. Special cases are considered to illustrate the general theory.",

keywords = "Approximation of slow motions, Averaging method, Limit occupational measures sets, Occupational measures, Singularly perturbed controlled stochastic differential equations",

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KW - Limit occupational measures sets

KW - Occupational measures

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Averaging of singularly perturbed controlled stochastic differential equations

Abstract

Keywords

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