Large Deviations for Two-Time-Scale Diffusions, with Delays

Journal Article · Wed Dec 15 00:00:00 EST 2010 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-010-9104-Y· OSTI ID:21480253

Kushner, Harold J., E-mail: [e-mail] ^[1]

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1. Brown University, Applied Math (United States)

We consider the problem of large deviations for a two-time-scale reflected diffusion process, possibly with delays in the dynamical terms. The Dupuis-Ellis weak convergence approach is used. It is perhaps the most intuitive and simplest for the problems of concern. The results have applications to the problem of approximating optimal controls for two-time-scale systems via use of the averaged equation.

• OSTI ID: 21480253
• Journal Information: Applied Mathematics and Optimization, Vol. 62, Issue 3; Other Information: DOI: 10.1007/s00245-010-9104-y; Copyright (c) 2010 Springer Science+Business Media, LLC; ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

97 MATHEMATICAL METHODS AND COMPUTING
CONVERGENCE
DIFFUSION
EQUATIONS
OPTIMAL CONTROL
TIME DELAY
CONTROL