Large Deviations for Two-Time-Scale Diffusions, with Delays

被引：0
|
作者：
Harold J. Kushner
机构：
[1] Brown University,Applied Math
来源：
Applied Mathematics & Optimization | 2010年 / 62卷
关键词：
Large deviations; Delay equations; Two-time-scale systems;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We consider the problem of large deviations for a two-time-scale reflected diffusion process, possibly with delays in the dynamical terms. The Dupuis-Ellis weak convergence approach is used. It is perhaps the most intuitive and simplest for the problems of concern. The results have applications to the problem of approximating optimal controls for two-time-scale systems via use of the averaged equation.
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页码：295 / 322
页数：27
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