The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients (Q816971)
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| English | The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients |
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The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients (English)
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2 March 2006
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The author makes an emphasis on constructing finite difference approximations as good as possible for a given Bellman equation. A number of theorems and assumptions are developed for theoretical foundation and convergence analysis. The paper is lack of experimentation. It is an interesting foundation on the subject.
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finite difference
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Bellman equation
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fully nonlinear equations
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0.8285599946975708
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0.7089359164237976
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0.7048930525779724
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0.6978282928466797
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0.6968508362770081
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