On convergence of attainability sets for controlled two-scale stochastic linear systems

Date
1997
Authors
Kabanov, Y.
Pergamenshchikov, S.
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Source Title
SIAM Journal on Control and Optimization
Print ISSN
0363-0129
Electronic ISSN
1095-7138
Publisher
Society for Industrial and Applied Mathematics
Volume
35
Issue
1
Pages
134 - 159
Language
English
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Abstract

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.

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