Singular Perturbations in Ergodic Control of Diffusions

DOI10.1137/060657327zbMath1143.93024OpenAlexW2003375320MaRDI QIDQ3525928

Vivek S. Borkar, Vladimir Gaitsgory

Publication date: 23 September 2008

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

Full work available at URL: https://semanticscholar.org/paper/e09a87da7aaa753e02f9b3623e8f02742afe6086

zbMATH Keywords

singular perturbationsergodic controlcontrolled diffusionsinvariant probability measurestwo time-scales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Time-scale analysis and singular perturbations in control/observation systems (93C70) Optimal stochastic control (93E20)

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