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

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

2006-10-27

arxiv.org/abs/math/0610855v3

Mathematics

Optimization and Control

29 pages

Scientific paper

A class of stochastic optimal control problems containing optimal stopping of
controlled diffusion process is considered. The numerical solutions of the
corresponding normalized Bellman equations are investigated. Methods of N. V.
Krylov are adapted. The rate of convergence of appropriate finite difference
difference schemes is estimated.

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