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On the rate of convergence of finite-difference approximations for Bellmans equations with variable coefficients
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  • Published: May 2000

On the rate of convergence of finite-difference approximations for Bellmans equations with variable coefficients

  • N.V. Krylov1 

Probability Theory and Related Fields volume 117, pages 1–16 (2000)Cite this article

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Abstract.

The estimates presented here for parabolic Bellman's equations with variable coefficients extend the ones earlier obtained for constant coefficients.

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Authors and Affiliations

  1. School of Mathematics, University of Minnesota, Minneapolis, MN 55455, USA. e-mail: krylov@math.umn.edu, , , , , , US

    N.V. Krylov

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  1. N.V. Krylov
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Received: 24 August 1998 / Revised version: 11 May 1999 / Published online: 30 March 2000

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Krylov, N. On the rate of convergence of finite-difference approximations for Bellmans equations with variable coefficients. Probab Theory Relat Fields 117, 1–16 (2000). https://doi.org/10.1007/s004400050264

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  • Issue Date: May 2000

  • DOI: https://doi.org/10.1007/s004400050264

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Keywords

  • Variable Coefficient
  • Constant Coefficient
  • Bellmans Equation
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