On the rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients

Details On the rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients On the rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients

2004-11-11

arxiv.org/abs/math/0411248v1

Mathematics

Optimization and Control

32 pages

Scientific paper

We consider parabolic Bellman equations with Lipschitz coefficients. Error
bounds of order $h^{1/2}$ for certain types of finite-difference schemes are
obtained.

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