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

DOI10.1016/j.automatica.2006.03.016zbMath1117.93370OpenAlexW2070056413MaRDI QIDQ856532

Zhimin Zhang, Qingshuo Song, G. George Yin

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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