Averaging of singularly perturbed controlled stochastic differential equations
approximation of slow motionsaveragingcontrolled systemslimit occupational measures setsoccupational measuressingularly perturbed stochastic differential equations
Averaging method for ordinary differential equations (34C29) Singular perturbations for ordinary differential equations (34E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Time-scale analysis and singular perturbations in control/observation systems (93C70) Stochastic systems in control theory (general) (93E03)
From the authors 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. The controlled system of stochastic differential equations is driven by multidimensional, independent Wiener processes.
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