A survey of numerical solutions for stochastic control problems: Some recent progress

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2022-01-01 DOI:10.3934/naco.2022004

Zhu Jin, Mingxue Qiu, K. Tran, G. Yin

引用次数: 4

Abstract

This paper presents a survey on some of the recent progress on numerical solutions for controlled switching diffusions. We begin by recalling the basics of switching diffusions and controlled switching diffusions. We then present regular controls and singular controls. The main objective of this paper is to provide a survey on some recent advances on Markov chain approximation methods for solving stochastic control problems numerically. A number of applications in insurance, mathematical biology, epidemiology, and economics are presented. Several numerical examples are provided for demonstration.

查看原文本刊更多论文

随机控制问题数值解的研究进展

本文综述了控制开关扩散数值解的一些最新进展。我们首先回顾开关扩散和控制开关扩散的基础知识。然后我们介绍了常规控件和奇异控件。本文的主要目的是综述用马尔可夫链近似方法数值求解随机控制问题的一些最新进展。它在保险、数学生物学、流行病学和经济学等领域的广泛应用。给出了几个数值算例进行论证。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.