Applied Mathematics and Optimization, Vol.56, No.1, 37-66, 2007
The rate of convergence of finite-difference approximations for parabolic Bellman equations with Lipschitz coefficients in cylindrical domains
We consider degenerate parabolic and elliptic fully nonlinear Bellman equations with Lipschitz coefficients in domains. Error bounds of order h(1/2) in the sup norm for certain types of finite-difference schemes are obtained.