On the Rate of Convergence of the Finite-Difference Approximations for Parabolic Bellman Equations with Constant Coefficients
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Control and Optimization
Link
http://link.springer.com/content/pdf/10.1007/s00245-008-9037-x.pdf
Reference27 articles.
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3. Guy, B., Jakobsen, E.R.: Error bounds for monotone approximation schemes for Hamilton-Jacobi-Bellman equations. SIAM J. Numer. Anal. 43(2), 540–558 (2005)
4. Capuzzo-Dolcetta, I., Evans, L.C.: Optimal switching for ordinary differential equations. SIAM J. Control Optim. 22, 143–161 (1984)
5. Cheeger, J.: Differentiability of Lipschitz functions on metric measure spaces. GAFA Geom. Funct. Anal. 9, 428–517 (1999)
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