Optimal control of singularly perturbed stochastic linear systems

DOI10.1080/17442509108833713zbMath0739.93080OpenAlexW1967714788MaRDI QIDQ3978288

Serguei Pergamenchtchikov, Youri M.Kabanov

Publication date: 25 June 1992

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509108833713

zbMATH Keywords

optimal control problemequationsMayer's stochastic problemsingularly perturbed linear stochastic differential

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Singular Limit of Two-Scale Stochastic Optimal Control Problems in Infinite Dimensions by Vanishing Noise Regularization ⋮ On control of two-scale stochastic systems with linear dynamics in the fast variables

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