Some Estimates for Finite Difference Approximations

DOI10.1137/0327031zbMath0684.93088OpenAlexW2052165002MaRDI QIDQ4735120

José Luis Menaldi

Publication date: 1989

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://digitalcommons.wayne.edu/mathfrp/34

zbMATH Keywords

Hamilton-Jacobi-Bellman equationfinite difference methodsdiscrete maximum principlediffusion processescomplete filtered probability spacen-dimensional Wiener process

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Optimal stochastic control (93E20) Discrete approximations in optimal control (49M25) Error analysis and interval analysis (65G99)

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