Automatica, Vol.42, No.7, 1147-1157, 2006
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. (c) 2006 Elsevier Ltd. All rights reserved.
Keywords:controlled regime-switching diffusion;regime-switching jump diffusion;Markov chain approximation;convergence