Rates of convergence of numerical methods for controlled regime-switching diffusions with stopping times in the costs (Q3566988)
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scientific article; zbMATH DE number 5719724
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| English | Rates of convergence of numerical methods for controlled regime-switching diffusions with stopping times in the costs |
scientific article; zbMATH DE number 5719724 |
Statements
Rates of Convergence of Numerical Methods for Controlled Regime-Switching Diffusions with Stopping Times in the Costs (English)
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10 June 2010
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controlled switching diffusion
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Markov chain approximation
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rate of convergence
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dynamic programming equation
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0.8855730891227722
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0.835883617401123
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0.8289222717285156
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0.804785966873169
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0.7939680814743042
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