On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients

DOI10.1090/S1061-0022-06-00905-8MaRDI QIDQ5481303zbMATH OpenFDO

Authors Hongjie Dong, N. V. Krylov

Publication date 9 August 2006

Published in St. Petersburg Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

finite-difference approximationselliptic Bellman equations

Mathematics Subject Classification ID

Discrete approximations in optimal control (49M25) Finite difference methods for boundary value problems involving PDEs (65N06) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Second-order elliptic equations (35J15)

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Cites work

• scientific article; zbMATH DE number 3939797 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies.
• Classes of solutions of linear systems of partial differential equations of parabolic type
• Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations
• Mean value theorems for stochastic integrals
• On the General Notion of Fully Nonlinear Second-Order Elliptic Equations
• On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations

Cited in

(16)

• Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
• On the rate of convergence of finite-difference approximations for elliptic Isaacs equations in smooth domains
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• On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations
• The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains
• A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators
• scientific article; zbMATH DE number 3945922 (Why is no real title available?)
• Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
• On finite-difference approximations for normalized Bellman equations
• On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients
• Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
• Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
• First derivatives estimates for finite-difference schemes
• scientific article; zbMATH DE number 3960051 (Why is no real title available?)
• ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
• Interior estimates for second-order differences of solutions of finite-difference elliptic Bellman's equations

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