Error bounds for monotone approximation schemes for Hamilton-Jacobi-Bellma equations

被引：74

作者：

Barles, G ^{[1
]}

Jakobsen, ER

机构：

[1] Univ Tours, Lab Math & Phys Theor, Parc Grandmont, F-37200 Tours, France

[2] Norwegian Univ Sci & Technol, Dept Math Sci, N-7491 Trondheim, Norway

来源：

SIAM JOURNAL ON NUMERICAL ANALYSIS | 2005年 / 43卷 / 02期

关键词：

Hamilton-Jacobi-Bellman equations; switching system; viscosity solution; approximation schemes; finite difference methods; convergence rate; error bound;

D O I：

10.1137/S003614290343815X

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We obtain error bounds for monotone approximation schemes of Hamilton-Jacobi-Bellman equations. These bounds improve previous results of Krylov and the authors. The key step in the proof of these new estimates is the introduction of a switching system which allows the construction of approximate, (almost) smooth supersolutions for the Hamilton-Jacobi-Bellman equation.

引用

页码：540 / 558

页数：19

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