The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients

Applied Mathematics and Optimization

Volumn 52, Issue 3, 2005, Pages 365-399

  Krylov, Nicolai V ^a  

^a UNIVERSITY OF MINNESOTA   (United States)

Author keywords

Bellman equations; Finite difference approximations; Fully nonlinear equations

Indexed keywords

APPROXIMATION THEORY; DIFFERENTIAL EQUATIONS; ERROR ANALYSIS; NONLINEAR EQUATIONS;

BELLMAN EQUATIONS; FINITE-DIFFERENCE APPROXIMATIONS; FULLY NONLINEAR EQUATIONS; LIPSCHITZ COEFFICIENTS;

FINITE ELEMENT METHOD;

EID: 29644447250     PISSN: 00954616     EISSN: 14320606     Source Type: Journal    
DOI: 10.1007/s00245-005-0832-3     Document Type: Article

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