Averaging of Singularly Perturbed Controlled Stochastic Differential Equations
Journal Article
·
· Applied Mathematics and Optimization
- School of Technology and Computer Science, Tata Institute of Fundamental Research, Homi Bhabha Road (India)
- School ofMathematics, University of South Australia, Mawson Lakes Campus (Australia)
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.
- OSTI ID:
- 21064178
- Journal Information:
- Applied Mathematics and Optimization, Vol. 56, Issue 2; Other Information: DOI: 10.1007/s00245-007-0893-6; Copyright (c) 2007 Springer; www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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