We show that the rate of convergence of solutions of finite-difference approximations for uniformly elliptic Bellman's equations is of order at least h 2/3, where h is the mesh size. The equations are considered in smooth bounded domains.
Bibliographical noteFunding Information:
The author was partially supported by NSF Grant DMS-1160569.
- Bellman's equations
- Finite differences
- Fully nonlinear elliptic equations