On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients

Probability Theory and Related Fields

Volumn 117, Issue 1, 2000, Pages 1-16

  Krylov, N V ^a  

^a UNIVERSITY OF MINNESOTA   (United States)

Author keywords

Bellman's equations; Finite difference approximations; Fully nonlinear equations

Indexed keywords

EID: 0034384390     PISSN: 01788051     EISSN: None     Source Type: Journal    
DOI: 10.1007/s004400050264     Document Type: Article

References (10)

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6. Krylov, N.V.: Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies. Electronic Journal of Probability, 4 (2), 1-19 (1999) http://www.math.washington.edu/ejpecp/EjpVol4/paper2.abs.html
7. Krylov, N.V: Mean value theorems for stochastic integrals, submitted to the Annals of Probability
8. Kushner, H.J.: Numerical methods for stochastic control problems in continuous time, SIAM J. Control and Optimization, 28 (5), 999-1048 (1990)
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10. Kushner, H.J., Dupuis, P.G.: "Numerical methods for stochastic control problems in continuous time". Springer Verlag, 1992