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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.

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)
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