Singular perturbations in stochastic control
Bensoussan, Alain; Blankenship, G.L. (1987), Singular perturbations in stochastic control, in Kokotovic, Petar V.; Bensoussan, Alain; Blankenship, G.L., Singular Perturbations and Asymptotic Analysis in Control Systems, Springer : Berlin, p. 171-260. http://dx.doi.org/10.1007/BFb0007178
Book titleSingular Perturbations and Asymptotic Analysis in Control Systems
Book authorKokotovic, Petar V.; Bensoussan, Alain; Blankenship, G.L.
Number of pages421
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Abstract (EN)We consider a class of problems in stochastic control theory involving stochastic systems with small parameters. Using both analytical and probabilistic methods adapted to the special structures of singularly perturbed stochastic control problems, we develop a systematic methodology for their analysis.
Subjects / Keywordsstochastic control theory
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