Hongjie Dong, N. V. Krylov, “On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients”, Алгебра и анализ, 17:2 (2005), 108–132; St. Petersburg Math. J., 17:2 (2006), 295

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Алгебра и анализ, 2005, том 17, выпуск 2, страницы 108–132 (Mi aa662)

Эта публикация цитируется в 16 научных статьях (всего в 16 статьях)

Статьи

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

Hongjie Dong, N. V. Krylov

University of Minnesota

PDF полного текста (1023 kB) Список цитирования (16)

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Аннотация: Elliptic Bellman equations with coefficients independent of the variable

x

$x$ are considered. Error bounds for certain types of finite-difference schemes are obtained. These estimates are sharper than the earlier results in [8].

Поступила в редакцию: 24.05.2004

Англоязычная версия:
St. Petersburg Mathematical Journal, 2006, Volume 17, Issue 2, Pages 295–313
DOI: https://doi.org/10.1090/S1061-0022-06-00905-8

Реферативные базы данных:

Тип публикации: Статья

Язык публикации: английский

Образец цитирования: Hongjie Dong, N. V. Krylov, “On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients”, Алгебра и анализ, 17:2 (2005), 108–132; St. Petersburg Math. J., 17:2 (2006), 295–313

Цитирование в формате AMSBIB

\RBibitem{DonKry05}

\by Hongjie Dong, N.~V.~Krylov

\paper On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients

\jour Алгебра и анализ

\yr 2005

\vol 17

\issue 2

\pages 108--132

\mathnet{http://mi.mathnet.ru/aa662}

\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2159586}

\zmath{https://zbmath.org/?q=an:1136.49312}

\transl

\jour St. Petersburg Math. J.

\yr 2006

\vol 17

\issue 2

\pages 295--313

\crossref{https://doi.org/10.1090/S1061-0022-06-00905-8}

Образцы ссылок на эту страницу:

https://www.mathnet.ru/rus/aa662

https://www.mathnet.ru/rus/aa/v17/i2/p108

Эта публикация цитируется в следующих 16 статьяx:

Picarelli A., Reisinger Ch., Arto J.R., “Some Regularity and Convergence Results For Parabolic Hamilton-Jacobi-Bellman Equations in Bounded Domains”, J. Differ. Equ., 268:12 (2020), 7843–7876
Li Ya., Zhang Zh., Hu B., “Convergence Rate of An Explicit Finite Difference Scheme For a Credit Rating Migration Problem”, SIAM J. Numer. Anal., 56:4 (2018), 2430–2460
Ma K., Forsyth P.A., “An Unconditionally Monotone Numerical Scheme For the Two-Factor Uncertain Volatility Model”, IMA J. Numer. Anal., 37:2 (2017), 905–944
Krylov N.V., “on the Rate of Convergence of Finite-Difference Approximations For Elliptic Isaacs Equations in Smooth Domains”, Commun. Partial Differ. Equ., 40:8 (2015), 1393–1407
Krylov N.V., “On the Rate of Convergence of Difference Approximations For Uniformly Nondegenerate Elliptic Bellman's Equations”, Appl. Math. Optim., 69:3 (2014), 431–458
Debrabant K., Jakobsen E.R., “Semi-Lagrangian Schemes for Linear and Fully Non-Linear Diffusion Equations”, Math. Comput., 82:283 (2013), 1433–1462
Song Q., Yin G., “Rates of Convergence of Markov Chain Approximation for Controlled Regime-switching Diffusions with Stopping Times”, 49th IEEE Conference on Decision and Control (CDC), 2010, 567–572
Gyöngy I., Krylov N., “First derivatives estimates for finite-difference schemes”, Math. Comp., 78:268 (2009), 2019–2046
Song Q.S., Yin G., “Rates on convergence of numerical methods for controlled regime-switching diffusions with stopping times in the costs”, SIAM J. Control Optim., 48:3 (2009), 1831–1857
Luo J., Krylov N.V., “On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients”, Appl. Math. Optim., 58:3 (2008), 315–344
Krylov N.V., “A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators”, Math. Comp., 76:258 (2007), 669–698 (electronic)
Barles G., Jakobsen E.R., “Error bounds for monotone approximation schemes for parabolic Hamilton–Jacobi–Bellman equations”, Math. Comp., 76:260 (2007), 1861–1893 (electronic)
Dong Hongjie, Krylov N.V., “The rate of convergence of finite-difference approximations for parabolic Bellman equations with Lipschitz coefficients in cylindrical domains”, Appl. Math. Optim., 56:1 (2007), 37–66
Song Q.S., Yin G., “Study of convergence rates of numerical methods for stochastic control problems”, Proceedings of the 46th IEEE Conference on Decision and Control, Vols 1–14, IEEE Conference on Decision and Control - Proceedings, 2007, 1162–1167
Q.S. Song, G. Yin, 2007 46th IEEE Conference on Decision and Control, 2007, 3108
Krylov N.V., “The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients”, Appl. Math. Optim., 52:3 (2005), 365–399

Citing articles in Google Scholar: Russian citations, English citations
Related articles in Google Scholar: Russian articles, English articles

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