On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations

N. V. Krylov

doi:10.1007/s00245-013-9228-y

On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations

N. V. Krylov

Mathematics

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

Abstract

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.

Original language	English (US)
Pages (from-to)	431-458
Number of pages	28
Journal	Applied Mathematics and Optimization
Volume	69
Issue number	3
DOIs	https://doi.org/10.1007/s00245-013-9228-y
State	Published - Jun 2014

Bibliographical note

Funding Information:
The author was partially supported by NSF Grant DMS-1160569.

Keywords

Bellman's equations
Finite differences
Fully nonlinear elliptic equations

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title = "On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations",

abstract = "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.",

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AU - Krylov, N. V.

N1 - Funding Information: The author was partially supported by NSF Grant DMS-1160569.

PY - 2014/6

Y1 - 2014/6

N2 - 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.

AB - 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.

KW - Bellman's equations

KW - Finite differences

KW - Fully nonlinear elliptic equations

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On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations

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Keywords

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