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The Rate of Convergence of Finite-Difference Approximations for Parabolic Bellman Equations with Lipschitz Coefficients in Cylindrical Domains

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Abstract

We consider degenerate parabolic and elliptic fully nonlinear Bellman equations with Lipschitz coefficients in domains. Error bounds of order h1/2 in the sup norm for certain types of finite-difference schemes are obtained.

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Authors and Affiliations

  1. Department of Mathematics, University of Chicago, 5734 S. University Avenue, Chicago, IL 60637, USA

    Hongjie Dong

  2. 127 Vincent Hall, University of Minnesota, Minneapolis, MN 55455, USA

    Nicolai V. Krylov

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  1. Hongjie Dong
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  2. Nicolai V. Krylov
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Correspondence to Hongjie Dong or Nicolai V. Krylov.

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Dong, H., Krylov, N. The Rate of Convergence of Finite-Difference Approximations for Parabolic Bellman Equations with Lipschitz Coefficients in Cylindrical Domains. Appl Math Optim 56, 37–66 (2007). https://doi.org/10.1007/s00245-007-0879-4

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  • DOI: https://doi.org/10.1007/s00245-007-0879-4

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