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

DOI10.1007/S00245-013-9228-YzbMATH Open1297.65073arXiv1203.2905OpenAlexW2062055326MaRDI QIDQ742151FDOQ742151

N. V. Krylov

Publication date: 18 September 2014

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

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.

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

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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)

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Cited In (13)

• On the existence of Wp2 solutions for fully nonlinear elliptic equations under either relaxed or no convexity assumptions
• 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 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 finite-difference approximations for Bellman equations with constant coefficients
• On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients
• 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
• The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains
• Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
• Numerical analysis of strongly nonlinear PDEs
• Interior estimates for second-order differences of solutions of finite-difference elliptic Bellman's equations

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