On the rate of convergence of finite-difference approximations for Bellmans equations with variable coefficients - Krylov, N.V. (Probability theory and related fields, 2000)
Keywords: 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