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

This work is concerned with numerical methods for controlled regime-switching diffusions, and regime-switching jump diffusions. Numerical procedures based on Markov chain approximation techniques are developed. Convergence of the algorithms is derived by means of weak convergence methods. In addition, examples are also provided for demonstration purpose. Key words: controlled regime-switching diffusion, regime-switching jump diffusion, Markov chain approximation, convergence.

• Type: Journal
• Year: 2006
• Where: AUTOMATICA
• Authors: Q. S. Song, Gang George Yin, Z. Zhang
• Keywords: AUTOMATICA 2006, Chain Approximation Techniques, Markov Chain Approximation, Weak Convergence Methods