On the Rate of Convergence of the Finite-Difference Approximations for Parabolic Bellman Equations with Constant Coefficients

Journal Article · Mon Dec 15 00:00:00 EST 2008 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-008-9037-X· OSTI ID:21241927

Luo Jun, E-mail: [e-mail]; Krylov, N. V. ^[1]

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1. University Of Minnesota, Department of Mathematics (United States), E-mail: [e-mail]

The error bounds of order h{tau}{sup 1/2} for two types of finite-difference approximation schemes of parabolic Bellman equations with constant coefficients are obtained, where h is x-mesh size and {tau} is t-mesh size. The key methods employed are the maximum principles for the Bellman equation and the approximation schemes.

• OSTI ID: 21241927
• Journal Information: Applied Mathematics and Optimization, Vol. 58, Issue 3; Other Information: DOI: 10.1007/s00245-008-9037-x; Copyright (c) 2008 Springer Science+Business Media, LLC; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

97 MATHEMATICAL METHODS AND COMPUTING
99 GENERAL AND MISCELLANEOUS//MATHEMATICS, COMPUTING, AND INFORMATION SCIENCE
APPROXIMATIONS
CONVERGENCE
EQUATIONS