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Weighted singularly perturbed hybrid stochastic systems

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Abstract

In this paper weighted singularly perturbed hybrid stochastic systems are discussed. Under some reasonable assumptions, it is shown that there exists a uniformly δ-optimal policy when the perturbation is sufficiently small.

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Authors and Affiliations

  1. Institute of Applied Mathematics, Academy of Mathematics and Systems Sciences, CAS, Beijing, 100080, P.R. China

    Ke Liu

  2. Centre for Industrial and Applied Mathematics, South Australia, Australia

    Jerzy A. Filar

Authors
  1. Ke Liu
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  2. Jerzy A. Filar
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Corresponding author

Correspondence to Ke Liu.

Additional information

Received: December 2005 / Revised: March 2005

This author was supported partially by National Natural Science Foundation of China under grant 60274050, 70221001 and 70328001.

This author was supported partially by Australia Research Council Grant #A49532206.

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Liu, K., Filar, J. Weighted singularly perturbed hybrid stochastic systems. Math Meth Oper Res 62, 41–54 (2005). https://doi.org/10.1007/s00186-005-0440-7

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  • DOI: https://doi.org/10.1007/s00186-005-0440-7

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