In the maths section I would like to post notes about some of the things I’m currently working on. At the moment this is mainly Stochastic Control Theory and Bellman’s PDE.

More specifically, I’d like to find rate of convergence for finite difference schemes for some optimal stopping problems. Using control theory of course.

It turns out that N.V. Krylov has found a way of proving rate of convergence for finite difference approximations of Bellman’s PDE. So I can use his results (see N. V. Krylov, On the rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients and refences there).

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