Numerical Solutions of Stochastic Control Problems for Regime-switching Systems
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چکیده
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 variance problems are presented.
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تاریخ انتشار 2006