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The Rate of Convergence of Finite-Difference Approximations for Bellman Equations with Lipschitz Coefficients

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Abstract

We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order h1/2 for certain types of finite-difference schemes are obtained.

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  1. 127 Vincent Hall, University of Minnesota, Minneapolis, MN 55455, USA

    Nicolai V. Krylov

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  1. Nicolai V. Krylov
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Correspondence to Nicolai V. Krylov.

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Krylov, N. The Rate of Convergence of Finite-Difference Approximations for Bellman Equations with Lipschitz Coefficients. Appl Math Optim 52, 365–399 (2005). https://doi.org/10.1007/s00245-005-0832-3

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  • DOI: https://doi.org/10.1007/s00245-005-0832-3

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