The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains (Q2384778)

The paper supplements the earlier contribution of the second author [ibid. 52, No.~3, 365--399 (2005; Zbl 1087.65100)]. A similar problem is considered for a bounded domain. The rate of convergence of a finite difference approximation of parabolic Bellman equations with Lipschitz coefficients in cylindrical domains is established and error bounds for certain types of finite-difference schemes are obtained.