Probability Methods for the Convergence of Finite Difference Approximations to Partial Differential Equations.

Abstract

The paper applies some results on weak convergence of probability measures to the problem of convergence of finite difference approximations to a broad class of degenerate elliptic and parabolic partial differential equations. The equations are of type which arise in stochastic control theory and, generally, have only weak solutions. Interest in the problem stems from interest in stochastic control theory, and in numerical methods for the solution of stochastic control problems. The results are of interest in stochastic control theory and in numerical analysis. Some conditions are stated, the problem is discussed along with its probabilistic interpretation. (Author)

Document Details

Document Type
Technical Report
Publication Date
May 01, 1972
Accession Number
AD0745009

Entities

People

  • Chen-fu Yu
  • Harold J. Kushner

Organizations

  • Brown University

Tags

DTIC Thesaurus Topics

  • Control Theory
  • Convergence
  • Differential Equations
  • Equations
  • Finite Difference Theory
  • Numerical Analysis
  • Partial Differential Equations
  • Probability
  • Stochastic Control
  • Weak Convergence

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Calculus or Mathematical Analysis