Article ID Journal Published Year Pages File Type
698693 Automatica 2006 11 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Engineering Control and Systems Engineering
Authors
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