On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations

DOI10.1007/S00245-013-9228-YMaRDI QIDQ742151zbMATHOpenAlexFDO

Authors N. V. Krylov

Publication date 18 September 2014

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

Full work available at URL https://arxiv.org/abs/1203.2905

zbMATH Keywords

finite differencesfully nonlinear elliptic equationsBellman's equations

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Existence theories for optimal control problems involving ordinary differential equations (49J15) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Second-order elliptic equations (35J15)

Abstract: We show that the rate of convergence of solutions of finite-difference approximations for uniformly elliptic Bellman's equations is of order at least $h^{2/3}$, where $h$ is the mesh size. The equations are considered in smooth bounded domains.

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Cited in

(14)

• Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
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• Continuous dependence estimates for the ergodic problem of Bellman equation with an application to the rate of convergence for the homogenization problem
• Convergent finite difference methods for one-dimensional fully nonlinear second order partial differential 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
• Numerical analysis of strongly nonlinear PDEs
• The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains
• Convergence rate estimates for Aleksandrov's solution to the Monge-Ampère equation
• On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients
• The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients
• 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
• Interior estimates for second-order differences of solutions of finite-difference elliptic Bellman's equations

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