On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients
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Cites work
- 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
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- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- Mean value theorems for stochastic integrals
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
- On the General Notion of Fully Nonlinear Second-Order Elliptic Equations
Cited in
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- First derivatives estimates for finite-difference schemes
- A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators
- On the rate of convergence of finite-difference approximations for elliptic Isaacs equations in smooth domains
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
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- Precise error bounds for numerical approximations of fractional HJB equations
- Convergence rates for Chernoff-type approximations of convex monotone semigroups
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- On finite-difference approximations for normalized Bellman equations
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