Accession Number : AD0745009

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

Descriptive Note : Technical rept.,

Corporate Author : BROWN UNIV PROVIDENCE R I CENTER FOR DYNAMICAL SYSTEMS

Personal Author(s) : Kushner,Harold J. ; Yu,Chen-Fu

Report Date : MAY 1972

Pagination or Media Count : 42

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)

Descriptors :   (*PARTIAL DIFFERENTIAL EQUATIONS, MEASURE THEORY), (*ADAPTIVE CONTROL SYSTEMS, MATHEMATICAL MODELS), DIFFERENCE EQUATIONS, NUMERICAL ANALYSIS, STOCHASTIC PROCESSES, CONVERGENCE, THEOREMS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE