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

Large Deviations for Two-Time-Scale Diffusions, with Delays 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

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

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Publisher
Springer-Verlag
Copyright
Copyright © 2010 by Springer Science+Business Media, LLC
Subject
Mathematics; Numerical and Computational Physics; Mathematical Methods in Physics; Theoretical, Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-010-9104-y
Publisher site
See Article on Publisher Site

References

  • Averaging of singularly perturbed controlled stochastic differential equations
    Borkar, V.; Gaitsgory, V.

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