A sample and hold circuit and the method thereof are disclosed. The sample and hold circuit may be applied in voltage regulators or other circuits. The sample and hold circuit comprises: an input terminal configured to receive an input signal; an output terminal configured to provide an output signal; a control circuit configured to receive the input signal and the output signal, and wherein based on the input signal and the output signal, the control circuit generates a digital signal, and wherein the digital signal increases when the output signal is lower than the input signal, and maintains when the output signal is larger than or equal to the input signal; a digital-to-analog converter (DAC) configured to convert the digital signal to the output signal.