A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasilinear operators

Abstract

A priori estimates for finite-difference approximations for the first and second order derivatives are obtained for solutions of parabolic equations described in the title.

36 pages

References in corpus (1)

• Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations

Cited by in corpus (8)

• Finite difference schemes for stochastic partial differential equations in Sobolev spaces
• On finite-difference approximations for normalized Bellman equations
• On randomized stopping
• Higher order derivative estimates for finite-difference schemes
• First derivatives estimates for finite-difference schemes
• On factorizations of smooth nonnegative matrix-values functions and on smooth functions with values in polyhedra
• Rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations
• Error estimates for finite difference approximations of American put option price