On the rate of convergence of finite-difference approximations for bellman equations with constant coefficients

Hongjie Dong; Nicolai V Krylov

doi:10.1090/S1061-0022-06-00905-8

On the rate of convergence of finite-difference approximations for bellman equations with constant coefficients

Hongjie Dong, Nicolai V Krylov

School of Mathematics

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

11 Scopus citations

Abstract

Elliptic Bellman equations with coefficients independent of the variable x are considered. Error bounds for certain types of finite-difference schemes are obtained. These estimates are sharper than the earlier results in Krylov’s article of 1997.

Original language	English (US)
Pages (from-to)	295-313
Number of pages	19
Journal	St. Petersburg Mathematical Journal
Volume	17
Issue number	2
DOIs	https://doi.org/10.1090/S1061-0022-06-00905-8
State	Published - 2006

Keywords

Bellman equations
Finite-difference approximations
Fully nonlinear equations

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10.1090/S1061-0022-06-00905-8

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title = "On the rate of convergence of finite-difference approximations for bellman equations with constant coefficients",

abstract = "Elliptic Bellman equations with coefficients independent of the variable x are considered. Error bounds for certain types of finite-difference schemes are obtained. These estimates are sharper than the earlier results in Krylov{\textquoteright}s article of 1997.",

keywords = "Bellman equations, Finite-difference approximations, Fully nonlinear equations",

author = "Hongjie Dong and Krylov, \{Nicolai V\}",

year = "2006",

doi = "10.1090/S1061-0022-06-00905-8",

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pages = "295--313",

journal = "St. Petersburg Mathematical Journal",

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AU - Dong, Hongjie

AU - Krylov, Nicolai V

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AB - Elliptic Bellman equations with coefficients independent of the variable x are considered. Error bounds for certain types of finite-difference schemes are obtained. These estimates are sharper than the earlier results in Krylov’s article of 1997.

KW - Bellman equations

KW - Finite-difference approximations

KW - Fully nonlinear equations

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U2 - 10.1090/S1061-0022-06-00905-8

DO - 10.1090/S1061-0022-06-00905-8

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VL - 17

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EP - 313

JO - St. Petersburg Mathematical Journal

JF - St. Petersburg Mathematical Journal

IS - 2

ER -

On the rate of convergence of finite-difference approximations for bellman equations with constant coefficients

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