Interior estimates for the first-order differences for finite-difference approximations for elliptic Bellman's equations

DOI10.1007/s00245-011-9159-4zbMath1244.49053OpenAlexW2052635219MaRDI QIDQ442565

Nicolai V. Krylov

Publication date: 1 August 2012

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

Full work available at URL: https://doi.org/10.1007/s00245-011-9159-4

zbMATH Keywords

finite differencesfully nonlinear elliptic equationsBellman's equations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Discrete approximations in optimal control (49M25)

Related Items (2)

On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations ⋮ Interior estimates for second-order differences of solutions of finite-difference elliptic Bellman’s equations

Cites Work

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• The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients
• Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies.
• The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains
• On factorizations of smooth nonnegative matrix-values functions and on smooth functions with values in polyhedra
• Controlled Markov processes and viscosity solutions
• A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators
• Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations

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