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

Nicolai V. Krylov

doi:10.1007/s00245-005-0832-3

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

Nicolai V. Krylov

Mathematics

Research output: Contribution to journal › Article › peer-review

56 Scopus citations

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.

Original language	English (US)
Pages (from-to)	365-399
Number of pages	35
Journal	Applied Mathematics and Optimization
Volume	52
Issue number	3
DOIs	https://doi.org/10.1007/s00245-005-0832-3
State	Published - Oct 2005

Keywords

Bellman equations
Finite-difference approximations
Fully nonlinear equations

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title = "The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients",

abstract = "We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order h1/2 for certain types of finite-difference schemes are obtained.",

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

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