On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients

Authors
Krylov, NV
Citation
Nv. Krylov, On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients, PROB TH REL, 117(1), 2000, pp. 1-16
Citations number
10
Categorie Soggetti
Mathematics
Journal title
PROBABILITY THEORY AND RELATED FIELDS
ISSN journal
01788051 → ACNP
Volume
117
Issue
1
Year of publication
2000
Pages
1 - 16
Database
ISI
SICI code
0178-8051(200005)117:1<1:OTROCO>2.0.ZU;2-#
Abstract
The estimates presented here for parabolic Bellman's equations with variabl e coefficients extend the ones earlier obtained for constant coefficients.