Applications of Numerical Methods for Stochastic Controlled Switching Diffusions with a Hidden Markov Chain: Case Studies on Distributed Power Management and Communication Resource Allocation
نویسندگان
چکیده
1 Department of Mathematics, University of Wisconsin-Eau Claire, Eau Claire, WI 54701, USA, [email protected], 2 Department of Electrical and Computer Engineering, Wayne State University, Detroit, MI 48202, USA, [email protected], 3 Department of Mathematics, Wayne State University, Detroit, Michigan 48202, USA, [email protected], 4 Department of Mathematics, The University of Georgia, Athens, GA 30602, USA, [email protected], 5 Department of Computer Science, Wayne State University, Detroit, MI 48202, USA, [email protected]
منابع مشابه
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.
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