scientific article; zbMATH DE number 5002671

MaRDI QIDQ3368496zbMATH OpenFDO

Authors Hongjie Dong, N. V. Krylov

Publication date 31 January 2006

Full work available at URL http://www.emis.de/journals/EJDE/Volumes/2005/102/abstr.html

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zbMATH Keywords

controlled diffusion processesconvergenceerror boundsGalerkin finite-element approximationslinear degenerate parabolic and elliptic equations

Mathematics Subject Classification ID

Degenerate elliptic equations (35J70) Degenerate parabolic equations (35K65) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite difference methods for boundary value problems involving PDEs (65N06) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Error bounds for boundary value problems involving PDEs (65N15)

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Cited in

(18)

• Donsker-type theorem for BSDEs: rate of convergence
• On finite difference schemes for degenerate stochastic parabolic partial differential equations
• Convergence rates for semi-discrete splitting approximations for degenerate parabolic equations with source teams
• Localization errors in solving stochastic partial differential equations in the whole space
• Accelerated finite difference schemes for second order degenerate elliptic and parabolic problems in the whole space
• First derivatives estimates for finite-difference schemes
• Rate of convergence of finite difference approximations for degenerate ordinary differential equations
• A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators
• Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
• Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
• Convergence rates of finite difference schemes for the linear advection and wave equation with rough coefficient
• Optimal Rates of Convergence for Degenerate Parabolic Problems in Two Dimensions
• On stochastic finite difference schemes
• Finite difference schemes for stochastic partial differential equations in Sobolev spaces
• Time-dependent weak rate of convergence for functions of generalized bounded variation
• Policy iteration for nonconvex viscous Hamilton-Jacobi equations
• Convergence rates for Chernoff-type approximations of convex monotone semigroups
• Policy iteration for the deterministic control problems -- a viscosity approach

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