On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations (Q742151)
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| English | On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations |
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On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations (English)
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18 September 2014
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Second order uniformly elliptic second order Bellman's equations arising in the theory of controlled diffusion processes are approximated by finite difference. The authors show the convergence orders are at least \(h^{2/3}\), where \(h\) denotes the mesh size.
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fully nonlinear elliptic equations
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Bellman's equations
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finite differences
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0.8744383454322815
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0.8704246878623962
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0.8560400605201721
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0.8412505984306335
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0.8334388136863708
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