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) |
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Pages (from-to) | 37-66 |
Number of pages | 30 |
Journal | Applied Mathematics and Optimization |
Volume | 56 |
Issue number | 1 |
DOIs | |
State | Published - Jun 2007 |
Keywords
- Bellman equations
- Finite-difference approximations
- Fully nonlinear equations