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

被引：57

作者：

Krylov, NV ^{[1
]}

机构：

[1] Univ Minnesota, 127 Vincent Hall, Minneapolis, MN 55455 USA

来源：

APPLIED MATHEMATICS AND OPTIMIZATION | 2005年 / 52卷 / 03期

关键词：

finite-difference approximations; Bellman equations; fully nonlinear equations;

D O I：

10.1007/s00245-005-0832-3

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order h(1/2) for certain types of finite-difference schemes are obtained.

引用

页码：365 / 399

页数：35

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