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

DOI10.1016/J.AUTOMATICA.2006.03.016MaRDI QIDQ856532zbMATH OpenOpenAlexFDO

Authors Qingshuo Song, G. Yin, Zhimin Zhang

Publication date 7 December 2006

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2006.03.016

zbMATH Keywords

convergencecontrolled regime-switching diffusionMarkov chain approximationregime-switching jump diffusion

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stochastic systems in control theory (general) (93E03)

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Cited in

(38)

• Mean-variance type controls involving a hidden Markov chain: models and numerical approximation
• Convergence of Markov chain approximation on generalized HJB equation and its applications
• Numerical solutions of jump diffusions with Markovian switching
• Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
• Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
• Numerical solutions of regime-switching jump diffusions
• Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
• A survey of numerical solutions for stochastic control problems: some recent progress
• Numerical solutions of optimal stopping problems for a class of hybrid stochastic systems
• Near optimal control for a class of stochastic hybrid systems
• Numerical solutions for jump-diffusions with regime switching
• Stabilization of stochastic coupled systems with Lévy noise and regime switching diffusions via intermittent control with a time delay
• Convergence rates of Markov chain approximation methods for controlled diffusions with stopping
• Optimal investment and reinsurance to reach a bequest goal with random time solvency regulation
• Markov chain approximation approach to European option pricing in the presence of proportional transaction costs and regime-switching
• Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure
• Robust numerical methods for contingent claims under jump diffusion processes
• Lookback option pricing for regime-switching jump diffusion models
• A sparse Markov chain approximation of LQ-type stochastic control problems.
• The Euler-Maruyama approximation of state-dependent regime switching diffusions
• Numerical methods for controlled switching diffusions
• Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
• Computable Primal and Dual Bounds for Stochastic Control
• Rates of convergence of numerical methods for controlled regime-switching diffusions with stopping times in the costs
• The effects of random and seasonal environmental fluctuations on optimal harvesting and stocking
• Optimal life insurance and annuity demand with jump diffusion and regime switching
• Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
• Optimal exploitation for hybrid systems of renewable resources under partial observation
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• A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models
• Some recent progress on numerical methods for controlled regime-switching models with applications to insurance and risk management
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• Switching diffusion approximations for optimal power management in parallel processing systems
• Optimal dividends for regulated insurers with a nonlinear penalty
• Optimal control and numerical methods for hybrid stochastic SIS models
• A mixed singular/switching control problem with terminal cost for modulated diffusion processes
• A numerical method for ergodic optimal control of switching diffusions with reflection
• On the estimation of regime-switching Lévy models

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