The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients

DOI10.1007/S00245-005-0832-3zbMATH Open1087.65100arXivmath/0411248OpenAlexW2137824888MaRDI QIDQ816971FDOQ816971

Authors: N. V. Krylov 

Publication date: 2 March 2006

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

Abstract: We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order $h^{1/2}$ for certain types of finite-difference schemes are obtained.

Full work available at URL: https://arxiv.org/abs/math/0411248

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zbMATH Keywords

finite differencefully nonlinear equationsBellman equation

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Finite difference methods for boundary value problems involving PDEs (65N06) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Optimal stochastic control (93E20)

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