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

Dong, Hongjie; Krylov, N.

doi:10.1090/S1061-0022-06-00905-8

On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients
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by Hongjie Dong and N. V. Krylov

St. Petersburg Math. J. 17 (2006), 295-313

DOI: https://doi.org/10.1090/S1061-0022-06-00905-8

Published electronically: February 10, 2006

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Abstract:

Elliptic Bellman equations with coefficients independent of the variable $x$ are considered. Error bounds for certain types of finite-difference schemes are obtained. These estimates are sharper than the earlier results in Krylov’s article of 1997.

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