ABSTRACT
The classical method for solving CTNHSMP is explained in Janssen & Manca (2001) and consists of directly applying a general quadrature method to these N 2 coupled integral equations, which are a generalization of the Kolmogorov backward differential equations of the Markov environment (see Feller (1964)). However, such an approach is rather cumbersome, with a computational cost greater than Monte Carlo (MC)-based algorithms.
