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

DOI10.1090/S1061-0022-06-00905-8zbMath1136.49312MaRDI QIDQ5481303

Hongjie Dong, Nicolai V. Krylov

Publication date: 9 August 2006

Published in: St. Petersburg Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

finite-difference approximationselliptic Bellman equations

Mathematics Subject Classification ID

Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Second-order elliptic equations (35J15) Finite difference methods for boundary value problems involving PDEs (65N06) Discrete approximations in optimal control (49M25)

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