On control of two-scale stochastic systems with linear dynamics in the fast variables

DOI10.1007/BF01211749zbMath0901.93072OpenAlexW2011839308MaRDI QIDQ2563991

Wolfgang J. Runggaldier, Youri M.Kabanov

Publication date: 15 November 1998

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01211749

zbMATH Keywords

singular perturbationstochastic optimal controltwo-scale system of stochastic differential equations

Mathematics Subject Classification ID

Time-scale analysis and singular perturbations in control/observation systems (93C70) Optimal stochastic control (93E20) Perturbations, asymptotics of solutions to ordinary differential equations (34E10)

Related Items (2)

Singular limit of BSDEs and optimal control of two scale stochastic systems in infinite dimensional spaces ⋮ Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions

Cites Work

• Weak convergence methods and singularly perturbed stochastic control and filtering problems
• On ergodic control problems for singularly perturbed Markov processes
• On Convergence of Attainability Sets for Controlled Two-Scale Stochastic Linear Systems
• Optimal control of singularly perturbed stochastic linear systems
• Suboptimization of Singularly Perturbed Control Systems
• Estimation of the Quadratic Variation of Nearly Observed Semimartingales with Application to Filtering
• A priori bound for the supremum of solutions of stable stochastic differential equations
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