SIAM Journal on Control and Optimization, Vol.35, No.1, 134-159, 1997
On Convergence of Attainability Sets for Controlled 2-Scale Stochastic Linear-Systems
A limit of attainability sets is found for a linear two-scale stochastic system for the case when the diffusion coefficient of the fast variable is of order epsilon(1/2). The attainability set is defined as the set of distributions of attainable terminal values of solutions of stochastic differential equations. As a corollary we calculate a limit of the optimal value of the terminal cost in the stochastic Mayer problem.