Lectures «Problems of ergodic control for diffusion process with switching»
Laboratory of Stochastic Analysis and its Applications invites you to the lectures «Problems of ergodic control for diffusion process with switching» by the professor of the University of Leeds (the UK) Alexander Veretennikov
Location: Moscow, 11 Pokrovsky Boulevard
Schedule of the lectures:
- 19 September – 18:00 – 21:00, room R 101
- 24 September – 18:00 – 21:00, room R 101
Course description
Solutions of some problems of ergodic stochastic control for diffusion processes with switching will be presented, with averaged cost criterion in time and ensemble. For each setting ergodic Bellman equation will be proved and Howard algorithm convergence shown.
Lectures are open to anyone interested. Whether you need the pass to the Higher School of Economics, do not hesitate to contact the lab manager Anna Belykh: abelykh@hse.ru