On the rate of convergence of approximation schemes for Bellman equations associated with optimal stopping time problems

Mathematical Models and Methods in Applied Sciences

Volumn 13, Issue 5, 2003, Pages 613-644

  Jakobsen, Espen Robstad ^a  

^a NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Norway)

Author keywords

Approximation scheme; Convergence rate; Finite difference method; Hamilton Jacobi Bellman equation; Linear parabolic equation; Parabolic variational inequality; Viscosity solution

Indexed keywords

EID: 0038069084     PISSN: 02182025     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0218202503002660     Document Type: Article

References (25)

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