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Article Dans Une Revue Math. Comp. Année : 2007

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

Résumé

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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Dates et versions

hal-00017877 , version 1 (26-01-2006)

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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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