The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients

Nicolai V. Krylov

doi:10.1007/s00245-005-0832-3

The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients

Nicolai V. Krylov

School of Mathematics

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

63 Scopus citations

Abstract

We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order h^1/2 for certain types of finite-difference schemes are obtained.

Original language	English (US)
Pages (from-to)	365-399
Number of pages	35
Journal	Applied Mathematics and Optimization
Volume	52
Issue number	3
DOIs	https://doi.org/10.1007/s00245-005-0832-3
State	Published - Oct 2005

Keywords

Bellman equations
Finite-difference approximations
Fully nonlinear equations

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10.1007/s00245-005-0832-3

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

abstract = "We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order h1/2 for certain types of finite-difference schemes are obtained.",

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

author = "Krylov, \{Nicolai V.\}",

year = "2005",

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doi = "10.1007/s00245-005-0832-3",

language = "English (US)",

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journal = "Applied Mathematics and Optimization",

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KW - Bellman equations

KW - Finite-difference approximations

KW - Fully nonlinear equations

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JO - Applied Mathematics and Optimization

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ER -

The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients

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