On Convergence of Attainability Sets for Controlled Two-scale Stochastic Linear Systems∗
نویسنده
چکیده
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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تاریخ انتشار 1997