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On the rate of convergence of finite-difference approximations for Bellman’s equations. (English) Zbl 0902.65035

St. Petersbg. Math. J. 9, No. 3, 639-650 (1998) and Algebra Anal. 9, No. 3, 245-256 (1997).
Estimates for the elliptic and parabolic Bellman equations with ‘constant’ coefficients are presented.

MSC:

65M12 Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
65N12 Stability and convergence of numerical methods for boundary value problems involving PDEs
35K55 Nonlinear parabolic equations
93E20 Optimal stochastic control
35J60 Nonlinear elliptic equations
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