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

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  • 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.

    Mathematics Subject Classification: Primary: 93E20; 93E11; 93E99; 93E03Secondary: 60J10; 60J60.


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  • Figure 1.  Value function and control strategies using MCAM (20000 iterations)

    Figure 2.  Value function and control strategies using MCAM (1000 iterations)

    Figure 3.  Value function and control strategies using hybrid deep learning MCAM (20000 iterations)

    Figure 4.  Value function and control strategies using hybrid deep learning MCAM (1000 iterations)

    Figure 5.  Value function and control strategies using MCAM (20000 iterations)

    Figure 6.  Value function and control strategies using hybrid deep learning MCAM (20000 iterations)

    Figure 7.  Value function and control strategies of regime 1 using MCAM (20000 iterations)

    Figure 8.  Value function and control strategies of regime 2 using MCAM (20000 iterations)

    Figure 9.  Comparison of final results between regimes 1 and 2

    Figure 10.  Value function and control strategies of regime 1 using hybrid deep learning MCAM (20000 iterations)

    Figure 11.  Value function and control strategies of regime 2 using hybrid deep learning MCAM (20000 iterations)

    Figure 12.  Comparison of final results between regimes 1 and 2

    Figure 13.  The value function and the optimal control type (1: harvesting of species 1, 2: harvesting of species 2, 0: non-harvesting)

    Figure 14.  The value function and the optimal control type (1: harvesting of species 1, 2: harvesting of species 2, 0: seeding)

    Figure 15.  The optimal seeding rates

    Figure 16.  Value function (left) and optimal control (right) when $ f(i, \alpha, \xi) = 1.75+ \alpha i+ \alpha i\xi^2 $

    Figure 17.  Value function (left) and optimal control (right) when $ f(i, \alpha, \xi) = 2.5+2\lambda_ \alpha (1-i)i + i\xi^2 $

    Figure 18.  Value function (left) and optimal control (right) when $ f(i, \alpha, \xi) = 2+ \alpha i+ \alpha i\xi $

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