Averaging of singularly perturbed controlled stochastic differential equations

DOI10.1007/s00245-007-0893-6zbMath1139.93022OpenAlexW2062736751MaRDI QIDQ2471702

Vladimir Gaitsgory, Vivek S. Borkar

Publication date: 18 February 2008

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

Full work available at URL: https://doi.org/10.1007/s00245-007-0893-6

zbMATH Keywords

averagingoccupational measurescontrolled systemsapproximation of slow motionslimit occupational measures setssingularly perturbed stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Time-scale analysis and singular perturbations in control/observation systems (93C70) Averaging method for ordinary differential equations (34C29) Stochastic systems in control theory (general) (93E03) Singular perturbations for ordinary differential equations (34E15)

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