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Small noise limit for singularly perturbed diffusion

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Small noise limit for singularly perturbed diffusion
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We consider a simultaneous small noise limit for a singularly perturbed coupled diffusion described by XεtYεt==x0+∫t0b(Xεs,Yεs)ds+εαBt,y0−1ε∫t0∇yU(Xεs,Yεs)ds+s(ε)ε√Wt, where x0∈Rd,y0∈Rm, Bt,Wt are independent Brownian motions, b:Rd×Rm→Rd, U:Rd×Rm→R, and s:(0,∞)→(0,∞). One observes that there is a time scale separation between X and Y. Under suitable assumptions on b,U, for 0<α<12, if s(ϵ)→0 goes to zero at a prescribed slow enough rate then we establish all weak limits points of Xϵ, as ϵ→0, as Fillipov solutions to a differential inclusion. This is joint work with V. Borkar, S. Kumar and R. Sundaresan.
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