A new type of singularly perturbed diffusion and its applications

Article type: Research Article

Authors: Peng, Shige

Affiliations: Mathematics Institute, Fudan University, Shanghai, People's Republic of China and Mathematics Institute, Shandong University, Jinan, People's Republic of China

Note: [] This work was partially supported by the Chinese National Natural Science Fundation.

Abstract: A new type of singularly perturbed stochastic differential equation is discussed. Its limit problem, which seems ill-posed, is proved to be well-posed under a certain reasonable condition. We show also how to apply the above result to treat a simulated annealing problem.

DOI: 10.3233/ASY-1991-5206

Journal: Asymptotic Analysis, vol. 5, no. 2, pp. 173-186, 1991