Numerical solutions for optimal control of stochastic Kolmogorov systems with regime-switching and random jumps

DOI10.1007/s11203-021-09267-zzbMath1490.93134OpenAlexW4221061452MaRDI QIDQ2137739

George Yin, Zhexin Wen, Hongjiang Qian

Publication date: 16 May 2022

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-021-09267-z

zbMATH Keywords

stochastic controlnumerical solutionMarkov chain approximationKolmogorov system

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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