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Principle Seminar of the Department of Probability Theory, Moscow State University
September 14, 2016 16:45, Moscow, MSU, auditorium 12-24
 


On 1D ergodic controlled diffusion

A. Yu. Veretennikov

Lomonosov Moscow State University

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Abstract: This is a joint work in progress with S. Anulova (IPU) and H. Mai (CREST, Paris). For a uniformly stable controlled diffusion with an average cost function we establish "ergodic Bellman's equation" and prove uniqueness of its solution. A "Reward Improvement Algorithm" also known under several other names is studied: it provides a successive approximation to the solution. Recently ergodic control became a topical area. In comparison to the earlier results, we add control in the diffusion coefficient.

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