Based on the framework of Kleinman iteration algorithm, two computation iteration algorithms are studied to solve the optimal ??_∞ control problems for continuous-time Markov jump linear systems. Firstly, the direct parallel Kleinman iteration algorithm is proposed and the proof of the convergence of the iterative algorithm is established. Then, based on the direct parallel Kleinman, a more general iterative algorithm, called generalized parallel Kleinman iteration algorithm, is proposed with four different cases. Finally, a numerical example is provided to illustrate the effectiveness of the proposed algorithms.