"On ergodic control for some diffusion models" - talk by Prof. Alexander Veretennikov

Dear all, 


We would like to announce a talk given by Prof. Alexander Veretennikov  which  will be held on , 18th of May, 13:00-14:00 (Oslo time). 

The link for the Zoom room can be found at the end of this e-mail. The talk will take place in a hybrid format: participants will be able to join the talk in person in room 100 in the building of Faculty of Sciences and Mathematics, University of Nis, Serbia.


Title of the talk by Prof. Alexander Veretennikov
(recently retired from Department of Statistics University of  Leeds, UK) is: 

"On ergodic control for some diffusion models"


Abstract: Ergodic control for diffusions is considered. This is a well-established area due to many researchers over years. In the last two decades or even more great efforts in this direction, among others, were done by Prof Vivek Borkar and his colleagues and coauthors Profs Ari Arapostathis and Mrinal Ghosh who jointly published a monograph on the theme (CUP 2012)*. The goal of the efforts was to justify a so called ergodic Bellman equation and the approximation technique called Howard's reward improvement algorithm (RIA). Due to some technical obstacles, until recently the control was not allowed in the diffusion coefficient. In the talk it will be shown that in some case or cases it is possible both to prove ergodic Bellman's equation and to justify ergodic Howard's RIA. One reference is

https://doi.org/10.1137/19M1271944, with a preprint available at https://arxiv.org/abs/1812.10665, about a one-dimensional case.




Topic: Talk  by Alexander Veretennikov

Time:  May 18, 2022 1:00 PM Oslo time


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Meeting ID: 681 3525 9567

Passcode: 464408