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)|
|Number of pages||30|
|Journal||Applied Mathematics and Optimization|
|State||Published - Jun 1 2007|
- Bellman equations
- Finite-difference approximations
- Fully nonlinear equations