Interior estimates for the first-order differences for finite-difference approximations for elliptic Bellman's equations

DOI10.1007/S00245-011-9159-4MaRDI QIDQ442565zbMATH OpenOpenAlexFDO

Authors N. V. Krylov

Publication date 1 August 2012

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-011-9159-4

zbMATH Keywords

finite differencesfully nonlinear elliptic equationsBellman's equations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Discrete approximations in optimal control (49M25)

Cites work

• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators
• Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies.
• Controlled Markov processes and viscosity solutions
• Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
• On factorizations of smooth nonnegative matrix-values functions and on smooth functions with values in polyhedra
• 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

(3)

• On finite-difference approximations for normalized Bellman equations
• On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations
• Interior estimates for second-order differences of solutions of finite-difference elliptic Bellman's equations

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