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Mini-course «Ergodic Control of the Diffusion Processes»

From 23 January to 30 January professor of the University of Leeds (UK) Alexander Veretennikov delivered a mini-course «Ergodic control of the diffusion processes»

Program of the course:

Lecture 1: Introduction to ergodic control; discrete problems; one-dimensional controlled diffusion; ergodic Bellman's equation; Howard's ssuccessive 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.