Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
Analysis of PDEs
2009-11-11 v1 Numerical Analysis
Abstract
We obtain non-symmetric upper and lower bounds on the rate of convergence of general monotone approximation/numerical schemes for parabolic Hamilton Jacobi Bellman Equations by introducing a new notion of consistency. We apply our general results to various schemes including finite difference schemes, splitting methods and the classical approximation by piecewise constant controls.
Keywords
Cite
@article{arxiv.math/0601636,
title = {Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations},
author = {Guy Barles and Espen R. Jakobsen},
journal= {arXiv preprint arXiv:math/0601636},
year = {2009}
}