On error bounds for monotone approximation schemes for multi-dimensional Isaacs equations

Details On error bounds for monotone approximation schemes for multi-dimensional Isaacs equations On error bounds for monotone approximation schemes for multi-dimensional Isaacs equations

2004-09-21

arxiv.org/abs/math/0409389v1

Mathematics

Numerical Analysis

22 pages, 0 figures, submitted to Asymptotic Analysis

Scientific paper

Recently, Krylov, Barles, and Jakobsen developed the theory for estimating errors of monotone approximation schemes for the Bellman equation (a convex Isaacs equation). In this paper we consider an extension of this theory to a class of non-convex multidimensional Isaacs equations. This is the first result of this kind for non-convex multidimensional fully non-linear problems. To get the error bound, a key intermediate step is to introduce a penalization approximation. We conclude by (i) providing new error bounds for penalization approximations extending earlier results by e.g. Benssousan and Lions, and (ii) obtaining error bounds for approximation schemes for the penalization equation using very precise a priori bounds and a slight generalization of the recent theory of Krylov, Barles, and Jakobsen.

Affiliated with

Also associated with

No associations

Rating

On error bounds for monotone approximation schemes for multi-dimensional Isaacs equations does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On error bounds for monotone approximation schemes for multi-dimensional Isaacs equations, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On error bounds for monotone approximation schemes for multi-dimensional Isaacs equations will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-327928