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

DOI10.1007/S00245-008-9037-XzbMATH Open1166.49026OpenAlexW2069988926MaRDI QIDQ2391241FDOQ2391241

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

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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 finite-difference approximations for Bellman equations with constant coefficients
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Cited In (5)

• 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
• The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains
• Differentiability of logarithmic Besov functions in terms of capacities

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