Numerical Methods for Controlled Switching Diffusions

DOI10.1007/978-3-319-73441-5_3zbMath1476.60006OpenAlexW2781924998MaRDI QIDQ3297417

No author found.

Publication date: 20 July 2020

Published in: Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-73441-5_3

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Diffusion processes (60J60) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Continuous-time Markov chains and applications. A two-time-scale approach
• Probability methods for approximations in stochastic control and for elliptic equations
• Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
• Hybrid switching diffusions. Properties and applications
• Properties of switching jump diffusions: maximum principles and Harnack inequalities
• Recurrence and ergodicity of switching diffusions with past-dependent switching having a countable state space
• Recurrence and ergodicity for A class of regime-switching jump diffusions
• Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
• Controlled Markov processes and viscosity solutions
• Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
• Modeling and Analysis of Switching Diffusion Systems: Past-Dependent Switching with a Countable State Space
• Asynchronous Stochastic Approximation Algorithms for Networked Systems: Regime-Switching Topologies and Multiscale Structure
• Pathwise convergence rate for numerical solutions of stochastic differential equations
• Stochastic Recursive Algorithms for Networked Systems with Delay and Random Switching: Multiscale Formulations and Asymptotic Properties
• REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
• Approximation Methods for Hybrid Diffusion Systems with State-Dependent Switching Processes: Numerical Algorithms and Existence and Uniqueness of Solutions
• Stability of Regime-Switching Jump Diffusions
• Rates of Convergence of Numerical Methods for Controlled Regime-Switching Diffusions with Stopping Times in the Costs
• Threshold-Type Policies for Real Options Using Regime-Switching Models
• Regularization and Stabilization of Randomly Switching Dynamic Systems
• Numerical Solutions for Stochastic Differential Games With Regime Switching
• Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching
• Mean Exit Times and the Multilevel Monte Carlo Method
• Stochastic Differential Equations with Markovian Switching

This page was built for publication: Numerical Methods for Controlled Switching Diffusions