The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients
From MaRDI portal
Publication:816971
DOI10.1007/s00245-005-0832-3zbMath1087.65100arXivmath/0411248OpenAlexW2137824888MaRDI QIDQ816971
Publication date: 2 March 2006
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0411248
Nonlinear elliptic equations (35J60) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Optimal stochastic control (93E20) Finite difference methods for boundary value problems involving PDEs (65N06)
Related Items (38)
On finite-difference approximations for normalized Bellman equations ⋮ Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching ⋮ A fitted finite volume method for stochastic optimal control problems in finance ⋮ On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients ⋮ A model-free no-arbitrage price bound for variance options ⋮ Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem ⋮ Error estimates for approximations of nonhomogeneous nonlinear uniformly elliptic equations ⋮ Solving stochastic optimal control problem via stochastic maximum principle with deep learning method ⋮ Vanishing moment method and moment solutions for fully nonlinear second order partial differential equations ⋮ Numerical analysis of strongly nonlinear PDEs ⋮ An efficient numerical method for the robust optimal investment problem with general utility functions ⋮ ERROR ESTIMATES FOR A CLASS OF FINITE DIFFERENCE-QUADRATURE SCHEMES FOR FULLY NONLINEAR DEGENERATE PARABOLIC INTEGRO-PDES ⋮ Approximation of solutions of Hamilton-Jacobi equations on the Heisenberg group ⋮ A probabilistic numerical method for fully nonlinear parabolic PDEs ⋮ Interior estimates for the first-order differences for finite-difference approximations for elliptic Bellman's equations ⋮ Subsolutions that are close in the uniform norm are close in the Sobolev norm as well ⋮ Convergence Rate Estimates for Aleksandrov's Solution to the Monge--Ampère Equation ⋮ Local discontinuous Galerkin methods for one-dimensional second order fully nonlinear elliptic and parabolic equations ⋮ Dual adaptive controls for linear system with unknown constant parameters ⋮ On the Rate of Convergence for Monotone Numerical Schemes for Nonlocal Isaacs Equations ⋮ On stochastic finite difference schemes ⋮ Finite difference schemes for stochastic partial differential equations in Sobolev spaces ⋮ Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions ⋮ Continuous dependence results for non-linear Neumann type boundary value problems ⋮ A stochastic approximation for fully nonlinear free boundary parabolic problems ⋮ Optimal control of elliptic differential inclusions with Dirichlet and Neumann boundary conditions ⋮ Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes ⋮ Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations ⋮ Second order monotone finite differences discretization of linear anisotropic differential operators ⋮ On randomized stopping ⋮ On the convergence rate of finite difference methods for degenerate convection-diffusion equations in several space dimensions ⋮ Some non monotone schemes for Hamilton-Jacobi-Bellman equations ⋮ Finite element approximation of the Isaacs equation ⋮ Interior estimates for second-order differences of solutions of finite-difference elliptic Bellman’s equations ⋮ Rate of convergence of finite difference approximations for degenerate ordinary differential equations ⋮ A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators ⋮ Error estimates for approximations of nonlinear uniformly parabolic equations ⋮ Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets
This page was built for publication: The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients
