Averaging of singularly perturbed controlled stochastic differential equations. (English) Zbl 1139.93022
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.
Reviewer: Henri Schurz (Carbondale)
MSC:
93C70 | Time-scale analysis and singular perturbations in control/observation systems |
34C29 | Averaging method for ordinary differential equations |
34E15 | Singular perturbations for ordinary differential equations |
60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
93E03 | Stochastic systems in control theory (general) |