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

(36)

• Switching diffusion approximations for optimal power management in parallel processing systems
• The Euler-Maruyama approximation of state-dependent regime switching diffusions
• Optimal exploitation for hybrid systems of renewable resources under partial observation
• Numerical methods for controlled switching diffusions
• Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
• Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
• The effects of random and seasonal environmental fluctuations on optimal harvesting and stocking
• Lookback option pricing for regime-switching jump diffusion models
• Numerical solutions of regime-switching jump diffusions
• Some recent progress on numerical methods for controlled regime-switching models with applications to insurance and risk management
• Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
• A numerical method for ergodic optimal control of switching diffusions with reflection
• Numerical solutions of optimal stopping problems for a class of hybrid stochastic systems
• Numerical solutions for optimal control of stochastic Kolmogorov systems with regime-switching and random jumps
• Stability and stochastic stabilization of numerical solutions of regime-switching jump diffusion systems
• Mean-variance type controls involving a hidden Markov chain: models and numerical approximation
• Optimal control and numerical methods for hybrid stochastic SIS models
• Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
• Numerical solutions of jump diffusions with Markovian switching
• Rates of convergence of numerical methods for controlled regime-switching diffusions with stopping times in the costs
• Computable Primal and Dual Bounds for Stochastic Control
• Near optimal control for a class of stochastic hybrid systems
• Optimal dividends for regulated insurers with a nonlinear penalty
• Stabilization of stochastic coupled systems with Lévy noise and regime switching diffusions via intermittent control with a time delay
• Numerical solutions for jump-diffusions with regime switching
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• A mixed singular/switching control problem with terminal cost for modulated diffusion processes
• A survey of numerical solutions for stochastic control problems: some recent progress
• Convergence rates of Markov chain approximation methods for controlled diffusions with stopping

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