Continuous-Time Stochastic Averaging on the Infinite Interval for Locally Lipschitz Systems

DOI10.1137/090758970zbMath1203.60075DBLPjournals/siamco/LiuK10OpenAlexW2065845669WikidataQ59621692 ScholiaQ59621692MaRDI QIDQ3162601

Krstić, Miroslav, Shu-Jun Liu

Publication date: 20 October 2010

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

Full work available at URL: https://semanticscholar.org/paper/0eab50f5b2e7bc7d33efcf35faaeec2f492b41b5

zbMATH Keywords

stochastic differential equationsstochastic averaging

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15)

Related Items (7)

An averaging principle for slow-fast fractional stochastic parabolic equations on unbounded domains ⋮ Stochastic averaging principle for two-time-scale jump-diffusion SDEs under the non-Lipschitz coefficients ⋮ A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations ⋮ A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion ⋮ Lyapunov-based adaptive state estimation for a class of nonlinear stochastic systems ⋮ Newton-based stochastic extremum seeking ⋮ Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations

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