, Volume 56, Issue 1, pp 37-66

The Rate of Convergence of Finite-Difference Approximations for Parabolic Bellman Equations with Lipschitz Coefficients in Cylindrical Domains

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Abstract

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.