Rates of convergence of Markov chain approximation for controlled regime-switching diffusions with stopping times.

Qingshuo Song Gang George Yin

Published in: CDC (2010)

Keyphrases

markov chain
rates of convergence
steady state
transition probabilities
monte carlo
stationary distribution
regression function
empirical risk
state space
monte carlo method
transition matrix
queueing networks
stochastic process
expectation maximization
closed form