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

DOI10.1090/S1061-0022-06-00905-8zbMATH Open1136.49312MaRDI QIDQ5481303FDOQ5481303

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)

Cites Work

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• Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies.
• Mean value theorems for stochastic integrals
• On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
• Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations
• On the General Notion of Fully Nonlinear Second-Order Elliptic Equations
• Classes of solutions of linear systems of partial differential equations of parabolic type

Cited In (13)

• A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators
• On finite-difference approximations for normalized Bellman equations
• On the Rate of Convergence of Finite-Difference Approximations for Elliptic Isaacs Equations in Smooth Domains
• On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
• On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations
• Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
• On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients
• First derivatives estimates for finite-difference schemes
• Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
• Title not available (Why is that?)
• 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
• Interior estimates for second-order differences of solutions of finite-difference elliptic Bellman's equations

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