Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations

Abstract : We obtain non-symmetric upper and lower bounds on the rate of convergence of general monotone approximation/numerical schemes for parabolic Hamilton Jacobi Bellman Equations by introducing a new notion of consistency. We apply our general results to various schemes including finite difference schemes, splitting methods and the classical approximation by piecewise constant controls.
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Contributor : Guy Barles <>
Submitted on : Thursday, January 26, 2006 - 9:41:17 AM
Last modification on : Saturday, October 26, 2019 - 1:51:23 AM
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Guy Barles, Espen R. Jakobsen. Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations. Math. Comp., 2007, 76 (260), pp.1861--1893. ⟨hal-00017877⟩

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