Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations

DOI10.1090/S0025-5718-07-02000-5zbMath1123.65096arXivmath/0601636OpenAlexW2004745280MaRDI QIDQ3592681

Publication date: 13 September 2007

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

Full work available at URL: https://arxiv.org/abs/math/0601636

zbMATH Keywords

convergence error bounds finite difference methods approximation schemes splitting methods viscosity solutions Crank-Nicholson method parabolic Hamilton-Jacobi-Bellman equations

Mathematics Subject Classification ID

Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) 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) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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