Statistical filtering algorithms based on the maximum cross section method for stochastic systems with regime switching

Asynchronous Stochastic Approximation Algorithms for Networked Systems: Regime-Switching Topologies and Multiscale Structure

This work develops asynchronous stochastic approximation (SA) algorithms for networked systems with multiagents and regime-switching topologies to achieve consensus control. There are several distinct features of the algorithms: (1) In contrast to most of the existing consensus algorithms, the participating agents compute and communicate in an asynchronous fashion without using a global clock. ...

Numerical Solutions of Stochastic Control Problems for Regime-switching Systems

In this paper, we develop approximation methods for solving stochastic control problems. The systems under consideration involve regime switching, modulated by a continuous-time Markov chain. Using Markov chain approximation techniques, we construct discrete-time Markov chains having two components. In addition to convergence of the procedure, numerical experiments and remarks on controlled var...

Regime Switching Stochastic Volatility with Perturbation Based Option Pricing

Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consistency with theoretical arguments and empirical observations. However such models lack the ability to take into account long term and fundamental economic factors e.g. credit crunch. Regime switching models with mean r...

Time delay model for the stochastic volatility with regime switching

Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization

This work is devoted to a class of stochastic approximation problems with regime switching modulated by a discrete-time Markov chain. Our motivation stems from using stochastic recursive algorithms for tracking Markovian parameters such as those in spreading code optimization in CDMA (code division multiple access) wireless communication. The algorithm uses constant step size to update the incr...