Convergence of switching diffusions

Ergodic Control of Switching Diffusions*

A bstract . We study the ergodic control problem of switching diffusions representing a typical hybrid system that arises in numerous applications such as fault-tolerant control systems, flexible manufacturing systems, etc. Under fairly general conditions, we establish the existence of a stable, nonrandomized Markov policy which almost surely minimizes the pathwise long-run average cost. We the...

Convergence Rates of Markov Chain Approximation Methods for Controlled Regime-Switching Diffusions with Stopping

This work summarizes our recent work on rates of convergence of Markov chain approximation methods for controlled switching diffusions, in which both continuous dynamics and discrete events coexist. The discrete events are formulated by continuous-time Markov chains to delineate random environment and other random factors that cannot be represented by diffusion processes. The cost function is o...

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. 2006 Elsevier Ltd. All rights reserved.

Hybrid Switching Diffusions : Properties and Applications

Hybrid switching diffusions, also known as switching diffusions or regimeswitching systems, have drawn a signifi cant amount of attention in recent decades in a variety of applications due to their ability to model complex systems with uncertainty. Control and systems engineers have long been familiar with the fundamental idea of using a continuous stochastic differential equation to describe a...

Controlled Switching Diffusions as Hybrid Processes