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

DOI10.1007/s00245-005-0832-3zbMath1087.65100arXivmath/0411248MaRDI QIDQ816971

Nicolai V. Krylov

Publication date: 2 March 2006

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

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

zbMATH Keywords

Bellman equation; finite difference; fully nonlinear equations

Mathematics Subject Classification ID

35J60: Nonlinear elliptic equations

65N12: Stability and convergence of numerical methods for boundary value problems involving PDEs

93E20: Optimal stochastic control

65N06: Finite difference methods for boundary value problems involving PDEs

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