Applied Mathematics and Optimization, Vol.69, No.3, 431-458, 2014
On the Rate of Convergence of Difference Approximations for Uniformly Nondegenerate Elliptic Bellman's Equations
We show that the rate of convergence of solutions of finite-difference approximations for uniformly elliptic Bellman's equations is of order at least h (2/3), where h is the mesh size. The equations are considered in smooth bounded domains.