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

<p style='text-indent:20px;'>This paper presents a survey on some of the recent progress numerical solutions for controlled switching diffusions. We begin by recalling basics diffusions and then present regular controls singular controls. The main objective this is to provide advances Markov chain approximation methods solving stochastic control problems numerically. A number applications in insurance, mathematical biology, epidemiology, economics are presented. Several examples provided demonstration.</p>