Interior Estimates for the First-Order Differences for Finite-Difference Approximations for Elliptic Bellman’s Equations

Author:

Krylov N. V.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Control and Optimization

Reference10 articles.

1. Barles, G., Jakobsen, E.R.: Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations. Math. Comput. 76(260), 1861–1893 (2007)

2. Dong, H., Krylov, N.V.: The rate of convergence of finite-difference approximations for parabolic Bellman equations with Lipschitz coefficients in cylindrical domains. Appl. Math. Optim. 56(1), 37–66 (2007)

3. Stochastic Modelling and Applied Probability;W.L. Fleming,2006

4. Krylov, N.V.: On the rate of convergence of finite-difference approximations for Bellman’s equations. Algebra Anal., St. Petersb. Math. J. 9(3), 245–256 (1997)

5. Krylov, N.V.: Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies. Electron. J. Probab. 4(2), 1–19 (1999). http://www.math.washington.edu/~ejpecp/EjpVol4/paper2.abs.html

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