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Events

Mini-course "Ergodic Control of the Diffusion Processes"

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Laboratory of Stochastic Analysis and its Applications invites you to the mini-course «Ergodic Control of the Diffusion Processes» by the professor of the University of Leeds (the UK) Alexander Veretennikov

Location: Moscow, 11 Pokrovsky Boulevard

Schedule of the mini-course:

-         23 January – 18:00-21:00, room S328

-         27 January – 18:00-21:00, room S301

-         30 January – 18:00-21:00, room S301

Programme of the mini-course

Lecture 1: Introduction to ergodic control; discrete problems; one-dimensional controlled diffusion; ergodic Bellman's equation; Howard's successive approximation algorithm.
Lecture 2: One-dimensional diffusion with switching; ergodic Bellman's equation (system); a priori bounds; random time change; convergence of Howard's algorithm.
Lecture 3: Special class of multi-dimensional diffusion processes; a priori bounds; random time change; ergodic Bellman equation; convergence of Howard's algorithm.

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