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

SIAM Journal on Numerical Analysis

Volumn 43, Issue 2, 2005, Pages 540-558

  Barles, Guy ^a   Jakobsen, Espen R ^b  

^a UNIVERSITÉ DE TOURS   (France)

^b NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Norway)

Author keywords

Approximation schemes; Convergence rate; Error bound; Finite difference methods; Hamilton Jacobi Bellman equations; Switching system; Viscosity solution

Indexed keywords

ERROR ANALYSIS; ESTIMATION; FINITE DIFFERENCE METHOD; NONLINEAR EQUATIONS; SWITCHING SYSTEMS;

CONVERGENCE RATE; ERROR BOUND; ERROR BOUNDS; HAMILTON-JACOBI-BELLMAN EQUATIONS; MONOTONE APPROXIMATION; SUPERSOLUTIONS; VISCOSITY SOLUTION;

APPROXIMATION THEORY;

EID: 25444517488     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/S003614290343815X     Document Type: Article

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