Numerical solutions of stochastic control problems: Markov chain approximation methods
controlled switching diffusiondynamic programming principleHamilton-Jacobi-Bellman equationsHJB variational inequalitiesMarkov chain approximationnumerical method
Hamilton-Jacobi equations (35F21) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Continuous-time Markov processes on discrete state spaces (60J27) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for variational inequalities and related problems (65K15) Dynamic programming (90C39) Optimal stochastic control (93E20)
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- Numerical solutions for optimal control of stochastic Kolmogorov systems with regime-switching and random jumps
- Convergence of Markov chain approximation on generalized HJB equation and its applications
- A survey of numerical solutions for stochastic control problems: some recent progress
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- Numerical methods for non-zero-sum stochastic differential games: convergence of the Markov chain approximation method
- Numerical Approximations for Nonzero-Sum Stochastic Differential Games
- Rates of convergence of numerical methods for controlled regime-switching diffusions with stopping times in the costs
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- Markov Chain Approximations for Deterministic Control Problems with Affine Dynamics and Quadratic Cost in the Control
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- Numerical methods for stochastic singular control problems with state-dependent control
- Numerical Methods for Stochastic Control Problems in Continuous Time
- Convergence rates of Markov chain approximation methods for controlled diffusions with stopping
- A Markov chain approximation of switched Fokker-Planck equations for a model of on-off intermittency in the postural control during quiet standing
- Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
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