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The stochastic differential equation is defined as follows: NEWLINE\\[NEWLINE d u^\\varepsilon=C(u^\\varepsilon(t), x(t/\\varepsilon))dt+ \\sigma(u^\\varepsilon(t))dw(t). NEWLINE\\]NEWLINE Here \\(u^\\varepsilon(t)\\) is a random evolution, \\(x(t) \\in X\\) is a switching Markov process, \\(w(t)\\) is a Wiener process and \\(\\varepsilon\\) is a small parameter.NEWLINENEWLINEThe average regression function is defined as NEWLINE\\[NEWLINE C(u)=\\int_X\\pi(dx)C(u,x), NEWLINE\\]NEWLINE where \\(\\pi(\\cdot)\\) is a stationary distribution of \\(x(t)\\). Then, under mild conditions, \\(u^\\varepsilon(t)\\) converges weakly to the random process \\(\\zeta(t)\\) as \\(\\varepsilon \\to 0\\). It is a solution to the stochastic differential equation NEWLINE\\[NEWLINE d \\zeta(t)=C(\\zeta(t))dt+ \\sigma(\\zeta(t))dw(t). 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