The Rate of Convergence of Finite-Difference Approximations for Parabolic Bellman Equations with Lipschitz Coefficients in Cylindrical Domains
Journal Article
·
· Applied Mathematics and Optimization
- Department of Mathematics, University of Chicago, 5734 S. University Avenue (United States), E-mail: hjdong@math.uchicago.edu
- 127 Vincent Hall, University of Minnesota (United States), E-mail: krylov@math.umn.edu
We consider degenerate parabolic and elliptic fully nonlinear Bellman equations with Lipschitz coefficients in domains. Error bounds of order h{sup 1/2} in the sup norm for certain types of finite-difference schemes are obtained.
- OSTI ID:
- 21064186
- Journal Information:
- Applied Mathematics and Optimization, Vol. 56, Issue 1; Other Information: DOI: 10.1007/s00245-007-0879-4; Copyright (c) 2007 Springer; www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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