Rates of Convergence of Numerical Methods for Controlled Regime-Switching Diffusions with Stopping Times in the Costs

DOI10.1137/070679843zbMath1282.93277OpenAlexW2018477253MaRDI QIDQ3566988

Qingshuo Song, G. George Yin

Publication date: 10 June 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/070679843

zbMATH Keywords

rate of convergencedynamic programming equationMarkov chain approximationcontrolled switching diffusion

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (5)

Numerical solutions for optimal control of stochastic Kolmogorov systems with regime-switching and random jumps ⋮ Convergence rates of Markov chain approximation methods for controlled diffusions with stopping ⋮ A survey of numerical solutions for stochastic control problems: some recent progress ⋮ Numerical Methods for Controlled Switching Diffusions ⋮ Numerical solutions for optimal control of stochastic Kolmogorov systems

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