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

School of Mathematics

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

31 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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10.1007/s00245-007-0879-4

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

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.",

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

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

year = "2007",

month = jun,

doi = "10.1007/s00245-007-0879-4",

language = "English (US)",

volume = "56",

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journal = "Applied Mathematics and Optimization",

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T1 - The rate of convergence of finite-difference approximations for parabolic Bellman equations with Lipschitz coefficients in cylindrical domains

AU - Dong, Hongjie

AU - Krylov, Nicolai V.

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N2 - 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.

AB - 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.

KW - Bellman equations

KW - Finite-difference approximations

KW - Fully nonlinear equations

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DO - 10.1007/s00245-007-0879-4

M3 - Article

AN - SCOPUS:34547457979

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JO - Applied Mathematics and Optimization

JF - Applied Mathematics and Optimization

IS - 1

ER -

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

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