Special Session 61: 

Nonlinear filtering and averaging in two time scale systems

Vivek S Borkar
Indian Institute of Technology Bombay
India
Co-Author(s):    
Abstract:
This talk will outline recent applications of nonlinear filtering in deriving averaging results for two time scale stochastic differential systems as the time scale separation diverges and the slower time scale `sees` its dynamics averaged with respect to the stationary distribution of the faster dynamics.