On the rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients
Optimization and Control
2007-05-23 v1 Numerical Analysis
Abstract
We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order for certain types of finite-difference schemes are obtained.
Keywords
Cite
@article{arxiv.math/0411248,
title = {On the rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients},
author = {N. V. Krylov},
journal= {arXiv preprint arXiv:math/0411248},
year = {2007}
}
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32 pages