Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions

DOI10.1007/S00211-008-0160-ZzbMath1153.65125OpenAlexW2045118704MaRDI QIDQ943366

Espen R. Jakobsen, Claudia La Chioma, Kenneth Hvistendahl Karlsen

Publication date: 9 September 2008

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10577

zbMATH Keywords

error estimatesBellman equationfinite difference schemeviscosity solutionsintegro-partial differential equationscontrolled jump diffusion

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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