The Rate of Convergence of Finite-Difference Approximations for Bellman Equations with Lipschitz Coefficients
Journal Article
·
· Applied Mathematics and Optimization
- 127 Vincent Hall, University of Minnesota, Minneapolis, MN 55455 (United States), E-mail: krylov@math.umn.edu
We consider parabolic Bellman equations with Lipschitz coefficients.Error bounds of order h{sup 1/2} for certain types of finite-difference schemes are obtained.
- OSTI ID:
- 21067429
- Journal Information:
- Applied Mathematics and Optimization, Vol. 52, Issue 3; Other Information: DOI: 10.1007/s00245-005-0832-3; Copyright (c) 2005 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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