Preprint 2004-047

Error bounds for monotone approximation schemes for Hamilton–Jacobi–Bellman equations.

G. Barles and E. R. Jakobsen

Abstract: 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.

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G. Barles, <>
E. R. Jakobsen, <>
Publishing information:
Submitted to SIAM Journal of Numerical Analysis.
Submitted by:
<> October 1 2004.

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