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Applied Mathematics & Optimization

, Volume 62, Issue 3, pp 295–322 | Cite as

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

  • Harold J. KushnerEmail author
Article

Abstract

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.

Keywords

Large deviations Delay equations Two-time-scale systems 

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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Applied MathBrown UniversityProvidenceUSA

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