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Algebra i Analiz, 2005 Volume 17, Issue 2, Pages 108–132 (Mi aa662)

This article is cited in 16 papers

Research Papers

On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients

Hongjie Dong, N. V. Krylov

University of Minnesota

Abstract: Elliptic Bellman equations with coefficients independent of the variable $x$ are considered. Error bounds for certain types of finite-difference schemes are obtained. These estimates are sharper than the earlier results in [8].

Received: 24.05.2004

Language: English


 English version:
St. Petersburg Mathematical Journal, 2006, 17:2, 295–313

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