On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients

DOI10.1007/S00245-008-9037-XMaRDI QIDQ2391241zbMATH OpenOpenAlexFDO

Authors Jun Luo, N. V. Krylov

Publication date 24 July 2009

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-008-9037-x

zbMATH Keywords

maximum principlecomparison principlefully nonlinear equationsBellman's principleBellman equationsfinite-difference approximations

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Optimality conditions for problems involving ordinary differential equations (49K15) Dynamic programming in optimal control and differential games (49L20) Discrete approximations in optimal control (49M25) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Theoretical approximation in context of PDEs (35A35)

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• ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
• On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
• On the rate of convergence for parabolic difference schemes, II
• On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients
• On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
• Optimal Stochastic Switching and the Dirichlet Problem for the Bellman Equation
• Optimal Switching for Ordinary Differential Equations
• Pointwise Differentiability and Absolute Continuity
• The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients
• The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(7)

• On finite-difference approximations for normalized Bellman equations
• On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
• On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients
• On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations
• The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains
• On the rate of convergence of finite-difference approximations for elliptic Isaacs equations in smooth domains
• Differentiability of logarithmic Besov functions in terms of capacities

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