Averaging of singularly perturbed controlled stochastic differential equations

Vivek Borkar*, Vladimir Gaitsgory

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

24 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 languageEnglish
Pages (from-to)169-209
Number of pages41
JournalApplied Mathematics and Optimization
Volume56
Issue number2
DOIs
Publication statusPublished - Sep 2007
Externally publishedYes

Keywords

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

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