Singular Perturbations in Ergodic Control of Diffusions

Authors:
Vivek S. Borkar;Vladimir Gaitsgory
Affiliations:
-;-
Venue:
SIAM Journal on Control and Optimization
Year:
2007

Citing 0
Cited 2

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Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility

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Abstract

Ergodic control of a nondegenerate diffusion with two time-scales 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 treated as the “effective control variable."