Large Deviations for Two-Time-Scale Systems Driven by Nonhomogeneous Markov Chains and Associated Optimal Control Problems

DOI10.1137/100806916zbMath1228.60083OpenAlexW2038554428MaRDI QIDQ3097562

Qi He, George Yin, Qing Zhang

Publication date: 10 November 2011

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100806916

zbMATH Keywords

Markov chainlarge deviationsaveraging principlenonhomogeneity

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Large deviations (60F10) Continuous-time Markov processes on discrete state spaces (60J27) Asymptotic expansions of solutions to ordinary differential equations (34E05)

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Moderate deviations for the Langevin equations: Strong damping and fast Markovian switching ⋮ Large deviations for Markov-modulated diffusion processes with rapid switching ⋮ Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales ⋮ Averaging principle for two time-scale regime-switching processes ⋮ A class of Langevin equations with Markov switching involving strong damping and fast switching ⋮ Mean stability and \(L_1\) performance of a class of two-time-scale Markov jump linear systems ⋮ Large deviations for small noise diffusions in a fast Markovian environment ⋮ Dynamical systems under random perturbations with fast switching and slow diffusion: hyperbolic equilibria and stable limit cycles ⋮ Moderate deviations for neutral functional stochastic differential equations driven by Lévy noises ⋮ Large deviations for multi-scale regime-switching jump diffusion systems ⋮ Moderate deviations for time-varying dynamic systems driven by non-homogeneous Markov chains with Two-time Scales

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