On convergence of attainability sets for controlled two-scale stochastic linear systems
SIAM Journal on Control and Optimization
Society for Industrial and Applied Mathematics
134 - 159
Item Usage Stats
A limit of attainability sets is found for a linear two-scale stochastic system for the case when the diffusion coefficient of the fast variable is of order ε1/2. The attainability set is defined as the set of distributions of attainable terminal values of solutions of stochastic differential equations. As a corollary we calculate a limit of the optimal value of the terminal cost in the stochastic Mayer problem.
Controlled stochastic differential equations
Two - scale system