Error bounds for monotone approximation schemes
for parabolic Hamilton-Jacobi-Bellman equations
Guy Barles and Espen Robstad Jakobsen
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.