Numerical methods for controlled switching diffusions

DOI10.1007/978-3-319-73441-5_3MaRDI QIDQ3297417zbMATH OpenOpenAlexFDO

Authors

Publication date 20 July 2020

Published in Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-73441-5_3

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Diffusion processes (60J60) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)

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Cites work

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• Asynchronous stochastic approximation algorithms for networked systems: regime-switching topologies and multiscale structure
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• Controlled Markov processes and viscosity solutions
• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
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• scientific article; zbMATH DE number 3288764 (Why is no real title available?)
• Hybrid switching diffusions. Properties and applications
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• REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
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Cited in

(9)

• Controlled diffusion processes with Markovian switchings for modeling dynamical engineering systems
• Pollution control for switching diffusion models: approximation methods and numerical results
• Some recent progress on numerical methods for controlled regime-switching models with applications to insurance and risk management
• A survey of numerical solutions for stochastic control problems: some recent progress
• Applications of Numerical Methods for Stochastic Controlled Switching Diffusions with a Hidden Markov Chain: Case Studies on Distributed Power Management and Communication Resource Allocation
• Rates of convergence of numerical methods for controlled regime-switching diffusions with stopping times in the costs
• Controlled Switching Diffusions Under Ambiguity: The Average Criterion
• A numerical method for ergodic optimal control of switching diffusions with reflection
• Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions

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