Two-scale Stochastic Systems
Edition: 1 edition
Publisher: Springer
Published: December 16, 2002
Language: eng
Format: Hardcover
Number of pages: 250
ISBN-13: 9783540653325
Subjects: Stochastics; Probability & Statistics - General; Systems Analysis; Mathematics; Medical / Nursing; Science/Mathematics; Applied; General; Mathematics / Statistics; Mathematics-Applied; Mathematics-Probability & Statistics - General; Medical / General; Stochastic differential equations; singular perturbations; stochastic approximation; stochastic control; two-scale stochastic systems
First sentence: We consider here a two-scale system with the "slow" dynamics given by a one-dimensional conditionally Gaussian process X? with the drift modulated by a "fast" finite-state Markov process.