The Rate of Convergence of Finite-Difference Approximations for Parabolic Bellman Equations with Lipschitz Coefficients in Cylindrical Domains
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- Dong, H. & Krylov, N. Appl Math Optim (2007) 56: 37. doi:10.1007/s00245-007-0879-4
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We consider degenerate parabolic and elliptic fully nonlinear Bellman equations with Lipschitz coefficients in domains. Error bounds of order h1/2 in the sup norm for certain types of finite-difference schemes are obtained.