Rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations

N. V. Krylov

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arXiv · 1203.2905

Rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations

N. V. Krylov

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Abstract

We show that the rate of convergence of solutions of finite-difference approximations for uniformly elliptic Bellman's equations is of order at least $h^{2/3}$, where $h$ is the mesh size. The equations are considered in smooth bounded domains.

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N. V. Krylov. 2012-03-13. Rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations. https://arxiv.org/abs/1203.2905

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