The rate of convergence of finite-difference approximations for parabolic Bellman equations with Lipschitz coefficients in cylindrical domains

被引：31
作者：
Dong, Hongjie [1 ]
Krylov, Nicolai V.
机构：
[1] Univ Chicago, Dept Math, 5734 S Univ Ave, Chicago, IL 60637 USA
[2] Univ Minnesota, Minneapolis, MN 55455 USA
来源：
APPLIED MATHEMATICS AND OPTIMIZATION | 2007年 / 56卷 / 01期
基金：
美国国家科学基金会;
关键词：
finite-difference approximations; Bellman equations; fully non-linear equations;
D O I：
10.1007/s00245-007-0879-4
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We consider degenerate parabolic and elliptic fully nonlinear Bellman equations with Lipschitz coefficients in domains. Error bounds of order h(1/2) in the sup norm for certain types of finite-difference schemes are obtained.
引用
收藏
页码：37 / 66
页数：30
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