Simultaneous small noise limit for singularly perturbed slow-fast coupled diffusions

DOI10.1007/s00245-019-09630-wzbMath1478.60214arXiv1810.03585OpenAlexW2990837518MaRDI QIDQ2041038

Vivek S. Borkar, Rajesh Sundaresan, K. Suresh Kumar, Siva R. Athreya

Publication date: 15 July 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.03585

zbMATH Keywords

spectral gapsmall noise limitaveraging principleFilippov solutionCarathéodory solutionnonlinear filterreversible diffusionslow-fast motion

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60)

Related Items (3)

Fluctuation analysis for a class of nonlinear systems with fast periodic sampling and small state-dependent white noise ⋮ Approximation of linear controlled dynamical systems with small random noise and fast periodic sampling ⋮ Singular perturbations in stochastic optimal control with unbounded data

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