The rate of convergence of finite-difference approximations for parabolic Bellman equations with Lipschitz coefficients in cylindrical domains

Hongjie Dong; Nicolai V. Krylov

doi:10.1007/s00245-007-0879-4

The rate of convergence of finite-difference approximations for parabolic Bellman equations with Lipschitz coefficients in cylindrical domains

Hongjie Dong, Nicolai V. Krylov

Mathematics

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

23 Scopus citations

Abstract

We consider degenerate parabolic and elliptic fully nonlinear Bellman equations with Lipschitz coefficients in domains. Error bounds of order h ^1/2 in the sup norm for certain types of finite-difference schemes are obtained.

Original language	English (US)
Pages (from-to)	37-66
Number of pages	30
Journal	Applied Mathematics and Optimization
Volume	56
Issue number	1
DOIs	https://doi.org/10.1007/s00245-007-0879-4
State	Published - Jun 2007

Keywords

Bellman equations
Finite-difference approximations
Fully nonlinear equations

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title = "The rate of convergence of finite-difference approximations for parabolic Bellman equations with Lipschitz coefficients in cylindrical domains",

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KW - Fully nonlinear equations

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The rate of convergence of finite-difference approximations for parabolic Bellman equations with Lipschitz coefficients in cylindrical domains

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