On the rate of convergence of finite-difference approximations for Bellmans equations with variable coefficients

The estimates presented here for parabolic Bellman's equations with variable coefficients extend the ones earlier obtained for constant coefficients.

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Bibliographic Details
Published in	Probability theory and related fields Vol. 117; no. 1; pp. 1 - 16
Main Author	Krylov, N.V.
Format	Journal Article
Language	English
Published	Heidelberg Springer 01.05.2000 Berlin Springer Nature B.V New York, NY
Subjects	Applied sciences Coefficients Computer science; control theory; systems Control theory. Systems Exact sciences and technology Finite difference method Mathematical analysis Mathematics Numerical analysis Numerical analysis. Scientific computation Optimal control Partial differential equations Partial differential equations, initial value problems and time-dependant initial-boundary value problems Probability Sciences and techniques of general use Non linear equation Parabolic equation Approximation Bellman equation Existence theorem Optimal control Convergence rate Wiener process Hölder inequality Finite difference method
Online Access	Get full text
ISSN	0178-8051 1432-2064 1432-2064
DOI	10.1007/s004400050264

More Information
Summary:	The estimates presented here for parabolic Bellman's equations with variable coefficients extend the ones earlier obtained for constant coefficients.
Bibliography:	ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 14
ISSN:	0178-8051 1432-2064 1432-2064
DOI:	10.1007/s004400050264