Applied Mathematics and Optimization, Vol.56, No.2, 169-209, 2007
Averaging of singularly perturbed controlled stochastic differential equations
An averaged system to approximate the slow dynamics of a two time-scale nonlinear stochastic control system is introduced. Validity of the approximation is established. Special cases are considered to illustrate the general theory.
Keywords:singularly perturbed controlled stochastic differential equations;occupational measures;averaging method;limit occupational measures sets;approximation of slow motions