Borkar, Vivek ; Gaitsgory, Vladimir (2007) On averaging of singularly perturbed stochastic differential equations Applied Mathematics and Optimization, 56 (2). pp. 169-209. ISSN 0095-4616
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Official URL: http://rd.springer.com/article/10.1007/s00245-007-...
Related URL: http://dx.doi.org/10.1007/s00245-007-0893-6
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.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Springer. |
| ID Code: | 81464 |
| Deposited On: | 07 Feb 2012 04:54 |
| Last Modified: | 07 Feb 2012 04:54 |
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