Two-Scale Stochastic Systems

0 Warm-up.- 1 Toolbox: Moment Bounds for Solutions of Stable SDEs.- 2 The Tikhonov Theory for SDEs.- 3 Large Deviations.- 4 Uniform Expansions for Two-Scale Systems.- 5 Two-Scale Optimal Control Problems.- 6 Applications.- A.1 Basic Facts About SDEs.- A.1.1 Existence and Uniqueness of Strong Solutions for SDEs with Random Coefficients.- A.1.2 Existence and Uniqueness with a Lyapunov Function.- A.1.3 Moment Bounds for Linear SDEs.- A.1.4 The Novikov Condition.- A.2 Exponential Bounds for Fundamental Matrices.- A.2.1 Uniform Bound in the Time-Homogeneous Case.- A.2.2 Nonhomogeneous Case.- A.2.3 Models with Singular Perturbations.- A.3 Total Variation Distance and Hellinger Processes.- A.3.1 Total Variation Distance and Hellinger Integrals.- A.3.2 The Hellinger Processes.- A.3.3 Example: Diffusion-Type Processes.- A.4 Hausdorff Metric.- A.5 Measurable Selection.- A.5.1 Aumann Theorem.- A.5.2 Filippov Implicit Function Lemma.- A.5.3 Measurable Version of the Carathéodory Theorem.- A.6.1 Notations and Preliminaries.- A.6.2 Integration of Stochastic Kernels.- A.6.3 Distributions of Integrals.- A.6.4 Compactness of the Limit of Attainability Sets.- A.6.5 Supports of Conditional Distributions.- A.7 The Komlós Theorem.- Historical Notes.- References.

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