The Rate of Convergence of Finite-Difference Approximations for Bellman Equations with Lipschitz Coefficients
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- Krylov, N. Appl Math Optim (2005) 52: 365. doi:10.1007/s00245-005-0832-3
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We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order h1/2 for certain types of finite-difference schemes are obtained.