@inbook{b4b50beda9cc4fcfb975708c96ef1756,
title = "Numerical solutions of stochastic control problems: Markov chain approximation methods",
abstract = "This chapter is devoted to Markov chain approximation methods for solving stochastic control problems numerically. While the underlying problems are in continuous time, the numerical methods are based on the construction of discrete-time controlled Markov chains that are locally consistent so that the local mean and covariance coincide with that of the continuous-time controlled stochastic systems. One of the main advantages of the Markov chain approximation method is that not much of a priori knowledge of the regularity of the related partial differential equations is needed.",
keywords = "Controlled switching diffusion, Markov chain approximation, Numerical method",
author = "Zhuo Jin and Ky Tran and George Yin",
year = "2022",
doi = "10.1016/bs.hna.2021.12.007",
language = "English",
isbn = "9780323850599",
series = "Handbook of Numerical Analysis",
publisher = "Elsevier",
pages = "233--264",
editor = "Emmanuel Tr{\'e}lat and Enrique Zuazua",
booktitle = "Numerical Control",
address = "Netherlands",
}