Numerical solutions for optimal control of stochastic Kolmogorov systems with regime-switching and random jumps

Hongjiang Qian (), Zhexin Wen () and George Yin ()
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Hongjiang Qian: University of Connecticut
Zhexin Wen: Central South University
George Yin: University of Connecticut

Statistical Inference for Stochastic Processes, 2022, vol. 25, issue 1, No 7, 105-125

Abstract: Abstract This work is devoted to numerical solutions of controlled stochastic Kolmogorov systems with regime switching and random jumps. Markov chain approximation methods are used to design numerical algorithms to approximate the controlled switching jump diffusions, the cost functions, and the value functions. Under suitable conditions, the convergence of the algorithms is proved. Numerical examples are provided to demonstrate the performance of the algorithms.

Keywords: Numerical solution; Stochastic control; Markov chain approximation; Kolmogorov system; 93E20; 65C30; 60H35 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11203-021-09267-z

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