On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations
From MaRDI portal
Publication:742151
DOI10.1007/s00245-013-9228-yzbMath1297.65073arXiv1203.2905OpenAlexW2062055326MaRDI QIDQ742151
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
Numerical optimization and variational techniques (65K10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Second-order elliptic equations (35J15) Existence theories for optimal control problems involving ordinary differential equations (49J15)
Related Items (7)
On the Rate of Convergence of Finite-Difference Approximations for Elliptic Isaacs Equations in Smooth Domains ⋮ Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem ⋮ Numerical analysis of strongly nonlinear PDEs ⋮ On the existence of Wp2 solutions for fully nonlinear elliptic equations under either relaxed or no convexity assumptions ⋮ Convergence Rate Estimates for Aleksandrov's Solution to the Monge--Ampère Equation ⋮ Convergent finite difference methods for one-dimensional fully nonlinear second order partial differential equations ⋮ Interior estimates for second-order differences of solutions of finite-difference elliptic Bellman’s equations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Interior estimates for the first-order differences for finite-difference approximations for elliptic Bellman's equations
- Approximation of controlled solutions of Ito's equation by controlled Markov chains
- Approximation schemes for viscosity solutions of Hamilton-Jacobi equations
- Probability methods for approximations in stochastic control and for elliptic equations
- Wide stencil finite difference schemes for the elliptic Monge-Ampère equation and functions of the eigenvalues of the Hessian
- Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies.
- Local estimates for parabolic difference operators
- Positive difference operators on general meshes
- On a representation of fully nonlinear elliptic operators in terms of pure second order derivatives and its applications
- The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains
- On factorizations of smooth nonnegative matrix-values functions and on smooth functions with values in polyhedra
- Controlled Markov processes and viscosity solutions
- Interior estimates for second-order differences of solutions of finite-difference elliptic Bellman’s equations
- Convergent Finite Difference Solvers for Viscosity Solutions of the Elliptic Monge–Ampère Equation in Dimensions Two and Higher
- Linear Elliptic Difference Inequalities with Random Coefficients
- Two Approximations of Solutions of Hamilton-Jacobi Equations
- A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- Classical solutions of fully nonlinear, convex, second-order elliptic equations
- Discrete Methods for Fully Nonlinear Elliptic Equations
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
- ON THE CLASSICAL SOLUTION OF NONLINEAR ELLIPTIC EQUATIONS OF SECOND ORDER
- On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients
- ON CONTROL OF THE SOLUTION OF A STOCHASTIC INTEGRAL EQUATION WITH DEGENERATION
- Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations
- On the Approximation of Linear Elliptic Differential Equations by Difference Equations with Positive Coefficients
This page was built for publication: On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations
