Numerical Methods for Controlled Switching Diffusions (Q3297417)

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Language	Label	Description	Also known as
English	Numerical Methods for Controlled Switching Diffusions	scientific article

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scholarly article

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Numerical Methods for Controlled Switching Diffusions (English)

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zbMATH Open document ID

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10.1007/978-3-319-73441-5_3

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Large-Scale Scientific Computing

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publication date

20 July 2020

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Mathematics Subject Classification ID

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zbMATH DE Number

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/978-3-319-73441-5_3

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REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING

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Threshold-Type Policies for Real Options Using Regime-Switching Models

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Properties of switching jump diffusions: maximum principles and Harnack inequalities

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Recurrence and ergodicity for A class of regime-switching jump diffusions

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Controlled Markov processes and viscosity solutions

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Mean Exit Times and the Multilevel Monte Carlo Method

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Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections

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Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation

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Probability methods for approximations in stochastic control and for elliptic equations

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Stochastic Differential Equations with Markovian Switching

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Modeling and Analysis of Switching Diffusion Systems: Past-Dependent Switching with a Countable State Space

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Recurrence and ergodicity of switching diffusions with past-dependent switching having a countable state space

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Pathwise convergence rate for numerical solutions of stochastic differential equations

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Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching

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Rates of Convergence of Numerical Methods for Controlled Regime-Switching Diffusions with Stopping Times in the Costs

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Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions

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Numerical Solutions for Stochastic Differential Games With Regime Switching

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Approximation Methods for Hybrid Diffusion Systems with State-Dependent Switching Processes: Numerical Algorithms and Existence and Uniqueness of Solutions

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Stochastic Recursive Algorithms for Networked Systems with Delay and Random Switching: Multiscale Formulations and Asymptotic Properties

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Stability of Regime-Switching Jump Diffusions

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Asynchronous Stochastic Approximation Algorithms for Networked Systems: Regime-Switching Topologies and Multiscale Structure

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Continuous-time Markov chains and applications. A two-time-scale approach

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Regularization and Stabilization of Randomly Switching Dynamic Systems

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Hybrid switching diffusions. Properties and applications

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