Browsing by Subject "Attainability sets"

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    On convergence of attainability sets for controlled two-scale stochastic linear systems
    (Society for Industrial and Applied Mathematics, 1997) Kabanov, Y.; Pergamenshchikov, S.
    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.