Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations

Details Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations

2006-01-26

arxiv.org/abs/math/0601636v1

Math. Comp. 76, 260 (2007) 1861--1893

Mathematics

Analysis of PDEs

Scientific paper

10.1090/S0025-5718-07-02000-5

We obtain non-symmetric upper and lower bounds on the rate of convergence of general monotone approximation/numerical schemes for parabolic Hamilton Jacobi Bellman Equations by introducing a new notion of consistency. We apply our general results to various schemes including finite difference schemes, splitting methods and the classical approximation by piecewise constant controls.

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