Two-Scale Stochastic Systems

1. Front Matter

   Pages I-XIV

   PDF

2. Warm-up

   • Yuri Kabanov, Sergei Pergamenshchikov

   Pages 1-17

3. Toolbox: Moment Bounds for Solutions of Stable SDEs

   • Yuri Kabanov, Sergei Pergamenshchikov

   Pages 19-41

4. The Tikhonov Theory for SDEs

   • Yuri Kabanov, Sergei Pergamenshchikov

   Pages 43-85

5. Large Deviations

   • Yuri Kabanov, Sergei Pergamenshchikov

   Pages 87-109

6. Uniform Expansions for Two-Scale Systems

   • Yuri Kabanov, Sergei Pergamenshchikov

   Pages 111-144

7. Two-Scale Optimal Control Problems

   • Yuri Kabanov, Sergei Pergamenshchikov

   Pages 145-192

8. Applications

   • Yuri Kabanov, Sergei Pergamenshchikov

   Pages 193-222

9. Back Matter

   Pages 223-266

   PDF

Two-scale systems described by singularly perturbed SDEs have been the subject of ample literature. However, this new monograph develops subjects that were rarely addressed and could be given the collective description "Stochastic Tikhonov-Levinson theory and its applications." The book provides a mathematical apparatus designed to analyze the dynamic behaviour of a randomly perturbed system with fast and slow variables. In contrast to the deterministic Tikhonov-Levinson theory, the basic model is described in a more realistic way by stochastic differential equations. This leads to a number of new theoretical questions but simultaneously allows us to treat in a unified way a surprisingly wide spectrum of applications like fast modulations, approximate filtering, and stochastic approximation.Two-scale systems described by singularly perturbed SDEs have been the subject of ample literature. However, this new monograph develops subjects that were rarely addressed and could be given the collective description "Stochastic Tikhonov-Levinson theory and its applications." The book provides a mathematical apparatus designed to analyze the dynamic behaviour of a randomly perturbed system with fast and slow variables. In contrast to the deterministic Tikhonov-Levinson theory, the basic model is described in a more realistic way by stochastic differential equations. This leads to a number of new theoretical questions but simultaneously allows us to treat in a unified way a surprisingly wide spectrum of applications like fast modulations, approximate filtering, and stochastic approximation.

• Approximation
• Stochastic differential equations
• optimal control
• singular perturbations
• stochastic approximation
• stochastic control
• system
• two-scale stochastic systems

From the reviews:

"The book presents Tikhonov theorems for stochastic systems with two time scales when a parameter decreases to zero. … The topic of the book is relevant for the research areas of stochastics and of control and system theory. … The strength of the book is in the analysis of Tikhonov theorems … . The text is very well structured, runs very smooth, and the exposition allows detailed scrutiny of all proofs. The book is expected to become a basic reference on two-scale stochastic systems." (J. H. van Schuppen, Nieuw Archief voor Wiskunde, Vol. 6 (2), 2005)

"This research monograph needs to be placed on your shelves … . The monograph is organized by seven chapters and a valuable appendix. … The book is written for a graduated mathematically oriented readership who is supposed to be familiar with basic concepts of stochastic differential equations and related issues." (Henri Schurz, Zentralblatt MATH, Vol. 1033 (8), 2004)

"This very well-crafted monograph examines the coupled stochastic and singularly perturbed stochastic dynamics … . the monograph displays in a very attractive manner the general scene of singularly perturbed stochastic differential equations. Telling examples are provided along with enlightening explanations, comparisons and detailed background material needed to grasp the theory. … To sum up, a mixture of modern techniques concerning singularly perturbed stochastic differential equations, along with classical arguments, is presented in a rigorous, clear and attractive manner." (Zvi Artstein, Mathematical Reviews, 2004 c)

"Two time-scale problems arise in many problems of practical interest. The essential ingredient in these problems is a decomposition of the dynamics into ‘fast’ and ‘slow’ modes. … This book deals, inter alia with ‘averaging methods’ where the coefficients of the limiting slow dynamics are obtained by averaging the fast dynamics. Indeed, the idea of‘averaging’ has found wide-spread application in related problems. The book is uncompromisingly mathematical but clearly and elegantly written." (G. C. Goodwin, Short Book Reviews, Vol. 23 (3), 2003)

• Département de Mathématiques, Université de Franche-Comté, Besançon Cedex, France

  Yuri Kabanov

• LIFAR, UFR Sciences et Techniques, Université de Rouen, Mont Saint Aignan Cedex, France

  Sergei Pergamenshchikov

Policies and ethics