The eigenvalue problem of singular ergodic control

PDE Seminar
Tuesday, March 30, 2010 - 15:00
1 hour (actually 50 minutes)
Skiles 255
University of California
We discuss a non-linear eigenvalue problem where the eigenvalue has a natural control-theoretic interpretation as an optimal "long-time averaged cost." We also show how such problems arise in financial market models with small transaction costs.