Rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations

Abstract

We show that the rate of convergence of solutions of finite-difference approximations for uniformly elliptic Bellman's equations is of order at least $h^{2/3}$, where $h$ is the mesh size. The equations are considered in smooth bounded domains.

24 pages

References in corpus (2)

• Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
• A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasilinear operators

Cited by in corpus (1)

• Convergent finite difference methods for one-dimensional fully nonlinear second order partial differential equations