We consider boundary-value problems for differential equations of second order containing a Brownian motion (random perturbation) and a small parameter and prove a special existence and uniqueness theorem for random solutions. We study the asymptotic behaviour of these solutions as the small parameter goes to zero and show the stochastic averaging theorem for such equations. We find the explicit limits for the solutions as the small parameter goes to zero.

Our focus in this work is to investigate an efficient state estimation scheme for a singularly perturbed stochastic hybrid system. As stochastic hybrid systems have been used recently in diverse areas, the importance of correct and efficient estimation of such systems cannot be overemphasized. The framework of nonlinear filtering provides a suitable ground for on-line estimation. With the help of intrinsic multiscale properties of a system, we obtain an efficient estimation scheme for a stochastic hybrid system.

We establish a flexible oscillation criterion based on an averaging technique that improves upon a result due to C. G. Philos.

Motivated by a problem in neural encoding, we introduce an adaptive (or real-time) parameter estimation algorithm driven by a counting process. Despite the long history of adaptive algorithms, this kind of algorithm is relatively new. We develop a finite-time averaging analysis which is nonstandard partly because of the point process setting and partly because we have sought to avoid requiring mixing conditions. This is significant since mixing conditions often place restrictive history-dependent requirements on algorithm convergence.

In this paper we extend a theorem of Mallet-Paret and Sell for the existence of an inertial manifold for a scalar-valued reaction diffusion equation to new physical domains ωn ⊂ Rn, n = 2,3. For their result the Principle of Spatial Averaging (PSA), which certain domains may possess, plays a key role for the existence of an inertial manifold. Instead of the PSA, we define a weaker PSA and prove that the domains φn with appropriate boundary conditions for the Laplace operator, δ, satisfy a weaker PSA. This weaker PSA is enough to ensure the existence of an inertial manifold for a specific class of scalar-valued reaction diffusion equations on each domain ωn under suitable conditions.