ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
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Initial value problems for second-order parabolic equations (35K15) Discrete approximations in optimal control (49M25) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Theoretical approximation in context of PDEs (35A35) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)
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Cited in
(36)- Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
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