ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
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Publication:3043554
DOI10.1142/S0218202503002660zbMath1050.35042MaRDI QIDQ3043554
Publication date: 6 August 2004
Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)
Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Theoretical approximation in context of PDEs (35A35) Initial value problems for second-order parabolic equations (35K15) Discrete approximations in optimal control (49M25)
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