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

Guy Barles·Espen R. Jakobsen
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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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Guy Barles, Espen R. Jakobsen. 2006-01-26. Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations. https://doi.org/10.1090/s0025-5718-07-02000-5

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