A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators

DOI10.1090/S0025-5718-07-01953-9MaRDI QIDQ3426019zbMATH OpenOpenAlexFDO

Authors N. V. Krylov

Publication date 7 March 2007

Published in Mathematics of Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0611112

zbMATH Keywords

a priori error estimatesfinite-difference

Mathematics Subject Classification ID

A priori estimates in context of PDEs (35B45) Nonlinear parabolic equations (35K55) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

Abstract: A priori estimates for finite-difference approximations for the first and second order derivatives are obtained for solutions of parabolic equations described in the title.

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Cites work

• A fast algorithm for the two dimensional HJB equation of stochastic control
• Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies.
• Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations
• Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
• scientific article; zbMATH DE number 5002671 (Why is no real title available?)
• On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
• ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
• On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients
• SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
• 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

Cited in

(12)

• On randomized stopping
• Solvability of the mixed initial boundary-value problem for a parabolic equation with a nonlocal condition of first kind
• On factorizations of smooth nonnegative matrix-values functions and on smooth functions with values in polyhedra
• Approximate solution of the Cauchy problem for a hyperbolic equation with a nonlinear source
• Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations
• Interior estimates for second-order differences of solutions of finite-difference elliptic Bellman's equations
• First derivatives estimates for finite-difference schemes
• Interior estimates for the first-order differences for finite-difference approximations for elliptic Bellman's equations
• Finite difference schemes for stochastic partial differential equations in Sobolev spaces
• On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations
• The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients
• On finite-difference approximations for normalized Bellman equations

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