| Two-Scale Stochastic Systems: Asymptotic Analysis and Control 2003 Edition Contributor(s): Kabanov, Yuri (Author), Pergamenshchikov, Sergei (Author) |
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ISBN: 3540653325 ISBN-13: 9783540653325 Publisher: Springer OUR PRICE: $52.24 Product Type: Hardcover - Other Formats Published: November 2002 Annotation: Two-scale systems described by singularly perturbed SDEs have been the subject of ample literature. However, this new monograph develops subjects that were rarely addressed and could be given the collective description "Stochastic Tikhonov-Levinson theory and its applications." The book provides a mathematical apparatus designed to analyze the dynamic behaviour of a randomly perturbed system with fast and slow variables. In contrast to the deterministic Tikhonov-Levinson theory, the basic model is described in a more realistic way by stochastic differential equations. This leads to a number of new theoretical questions but simultaneously allows us to treat in a unified way a surprisingly wide spectrum of applications like fast modulations, approximate filtering, and stochastic approximation. |
| Additional Information |
| BISAC Categories: - Medical - Mathematics | Probability & Statistics - General - Mathematics | Applied |
| Dewey: 519 |
| LCCN: 2002190834 |
| Series: Stochastic Modelling and Applied Probability |
| Physical Information: 0.69" H x 6.14" W x 9.21" (1.27 lbs) 266 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: In many complex systems one can distinguish "fast" and "slow" processes with radically di?erent velocities. In mathematical models based on di?er- tialequations, suchtwo-scalesystemscanbedescribedbyintroducingexpl- itly a small parameter?on the left-hand side ofstate equationsfor the "fast" variables, and these equationsare referredto assingularly perturbed. Surpr- ingly, this kind of equation attracted attention relatively recently (the idea of distinguishing "fast" and "slow" movements is, apparently, much older). Robert O'Malley, in comments to his book, attributes the originof the whole historyofsingularperturbationsto the celebratedpaperofPrandtl 79]. This was an extremely short note, the text of his talk at the Third International Mathematical Congress in 1904: the young author believed that it had to be literally identical with his ten-minute long oral presentation. In spite of its length, it had a tremendous impact on the subsequent development. Many famous mathematicians contributed to the discipline, having numerous and important applications. We mention here only the name of A. N. Tikhonov, whodevelopedattheendofthe1940sinhisdoctoralthesisabeautifultheory for non-linear systems where the fast variables can almost reach their eq- librium states while the slow variables still remain near their initial values: the aerodynamics of a winged object like a plane or the "Katiusha" rocket may serve an example of such a system. It is generally accepted that the probabilistic modeling of real-world p- cesses is more adequate than the deterministic modeling. |