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

Mathematics of Computation

Volumn 76, Issue 260, 2007, Pages 1861-1893

  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; Splitting methods; Switching system; Viscosity solution

Indexed keywords

EID: 38849122631     PISSN: 00255718     EISSN: None     Source Type: Journal    
DOI: 10.1090/S0025-5718-07-02000-5     Document Type: Article

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