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

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dc.citation.epage159en_US
dc.citation.issueNumber1en_US
dc.citation.spage134en_US
dc.citation.volumeNumber35en_US
dc.contributor.authorKabanov, Y.en_US
dc.contributor.authorPergamenshchikov, S.en_US
dc.date.accessioned2016-02-08T10:48:57Z
dc.date.available2016-02-08T10:48:57Z
dc.date.issued1997en_US
dc.departmentDepartment of Mathematicsen_US
dc.description.abstractA 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.en_US
dc.identifier.doi10.1137/S0363012994269685en_US
dc.identifier.eissn1095-7138
dc.identifier.issn0363-0129
dc.identifier.urihttp://hdl.handle.net/11693/25678
dc.language.isoEnglishen_US
dc.publisherSociety for Industrial and Applied Mathematicsen_US
dc.relation.isversionofhttps://doi.org/10.1137/S0363012994269685en_US
dc.source.titleSIAM Journal on Control and Optimizationen_US
dc.subjectAttainability setsen_US
dc.subjectControlled stochastic differential equationsen_US
dc.subjectHausdorff metricen_US
dc.subjectMayer problemen_US
dc.subjectSingular perturbationsen_US
dc.subjectTwo - scale systemen_US
dc.titleOn convergence of attainability sets for controlled two-scale stochastic linear systemsen_US
dc.typeArticleen_US
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