On the linear quadratic optimal control for systems described by singularly perturbed Itô differential equations with two fast time scales (Q2306150)

Summary: In this paper a stochastic optimal control problem described by a quadratic performance criterion and a linear controlled system modeled by a system of singularly perturbed Itô differential equations with two fast time scales is considered. The asymptotic structure of the stabilizing solution (satisfying a prescribed sign condition) to the corresponding stochastic algebraic Riccati equation is derived. Furthermore, a near optimal control whose gain matrices do not depend upon small parameters is discussed.