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On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman equations. (English) Zbl 0998.65067
This paper deals with general results on the rate of convergence of a certain class of monotone approximation schemes for stationary Hamilton-Jacobi-Bellman equations with variable coefficients. This result applies in particular to control schemes based on the dynamic programming principle and to finite difference schemes. The authors obtain the rate of convergence of the finite difference schemes for a large class of approximation schemes using a purely analytical approach.

MSC:
65K10 Numerical optimization and variational techniques
49L20 Dynamic programming in optimal control and differential games
49L25 Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
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