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Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions. (English) Zbl 1117.93370

Summary: 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.

MSC:

93E03 Stochastic systems in control theory (general)
93E25 Computational methods in stochastic control (MSC2010)
60J10 Markov chains (discrete-time Markov processes on discrete state spaces)
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