Lectures «Problems of Ergodic Control for Diffusion Process with Switching»

In September 19 and September 24 professor of the University of Leeds (the UK) Alexander Veretennikov delivered two lectures «Problems of ergodic control for diffusion process with switching»

Course description

During the lectures solutions of some problems of ergodic stochastic control for diffusion processes with switching were presented, with averaged cost criterion in time and ensemble. For each setting ergodic Bellman equation was proved and Howard algorithm convergence shown.