The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains

DOI10.1007/S00245-007-0879-4zbMath1127.65068OpenAlexW1966068608MaRDI QIDQ2384778

Publication date: 10 October 2007

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-007-0879-4

zbMATH Keywords

finite-difference approximations Bellman equations fully non-linear equations

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Initial value problems for second-order parabolic equations (35K15)

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