On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients

DOI10.1007/s00245-008-9037-xzbMath1166.49026OpenAlexW2069988926MaRDI QIDQ2391241

Jun Luo, Nicolai V. Krylov

Publication date: 24 July 2009

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

Full work available at URL: https://doi.org/10.1007/s00245-008-9037-x

zbMATH Keywords

maximum principlecomparison principlefinite-difference approximationsfully nonlinear equationsBellman's principleBellman equations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Theoretical approximation in context of PDEs (35A35) Discrete approximations in optimal control (49M25) Optimality conditions for problems involving ordinary differential equations (49K15)

Related Items (1)

Differentiability of logarithmic Besov functions in terms of capacities

Cites Work

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