Asymptotic singular windings of ergodic diffusions
نویسندگان
چکیده
منابع مشابه
Singular Perturbations in Ergodic Control of Diffusions
Ergodic control of a non-degenerate diffusion with two timescales is studied in the limiting case as the time-scale separation increases to infinity. It is shown that the limit problem is another ergodic control problem for the slow time-scale component alone with its dynamics averaged over the (controlled) invariant probability measures for the fast component. These measures in turn can be tre...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1996
ISSN: 0304-4149
DOI: 10.1016/0304-4149(96)82954-1