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

Authors:
Q. S. Song;G. Yin;Z. Zhang
Affiliations:
Department of Mathematics, Wayne State University, Detroit, MI 48202, USA;Department of Mathematics, Wayne State University, Detroit, MI 48202, USA;Department of Mathematics, Wayne State University, Detroit, MI 48202, USA
Venue:
Automatica (Journal of IFAC)
Year:
2006

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Abstract

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.