\documentclass[reqno]{amsart}
\usepackage{hyperref}

\AtBeginDocument{{\noindent\small {\em 
Electronic Journal of Differential Equations}, 
Vol. 2005(2005), No. 102, pp. 1--25.\newline
ISSN: 1072-6691. URL: http://ejde.math.txstate.edu or
http://ejde.math.unt.edu
\newline ftp ejde.math.txstate.edu  (login: ftp)}
\thanks{\copyright 2005 Texas State University - San Marcos.}
\vspace{9mm}}

\begin{document}
\title[\hfilneg EJDE-2005/102\hfil Convergence of finite-difference approximations]
{Rate of convergence of finite-difference approximations
for degenerate linear parabolic equations with $C^1$ and $C^2$
coefficients}

\author[H. Dong, N. V. Krylov\hfil EJDE-2005/102\hfilneg]
{Hongjie Dong, Nicolai V. Krylov}  % in alphabetical order

\address{Hongjie Dong \hfill\break
Department of Mathematics, University of Chicago,
5734 S. University Avenue,  Chicago, Illinois 60637, USA}
\email{hjdong@math.uchicago.edu}

\address{Nicolai V. Krylov \hfill\break
127 Vincent Hall, University of Minnesota, Minneapolis, MN 55455, USA}
\email{krylov@math.umn.edu}


\date{}
\thanks{Submitted  August 23, 2005. Published September 21, 2005.}
\thanks{N.V. Krylov was partially supported by
grant DMS-0140405 from the NSF}
\subjclass[2000]{65M15, 35J60, 93E20}
\keywords{Finite-difference approximations; linear elliptic and 
\hfill\break\indent
parabolic equations}

\begin{abstract}
  We consider degenerate parabolic and elliptic equations
  of second order with $C^1$ and $C^2$ coefficients.
  Error bounds for certain types of finite-difference schemes
  are obtained.
\end{abstract}

\maketitle
\numberwithin{equation}{section}
\newtheorem{theorem}{Theorem}[section]
\newtheorem{lemma}[theorem]{Lemma}
\newtheorem{corollary}[theorem]{Corollary}
\newtheorem{definition}[theorem]{Definition}
\newtheorem{assumption}[theorem]{Assumption}
\newtheorem{remark}[theorem]{Remark}
\allowdisplaybreaks

\section{Introduction}

Numerical and, in particular, finite-difference approximations
of solutions to all kinds of {\em linear\/} partial differential
equations is a well established and respected area.
Concerning a general approach to these issues we refer
    to \cite{BJS}, \cite{La}, \cite{LT}, and \cite{RM}.
By the way, in \cite{La} it is shown, in particular, how to
prove the solvability in $W^{1}_{2}$ by using finite-difference schemes.

One studies the convergence of numerical approximations
in spaces of summable or H\"older continuous functions.
Discrete $L_{p}$ theory  of elliptic and parabolic
equations (even of order higher than 2)  can be found
in \cite{Bo}, \cite{Sh}, \cite{St} with analysis
of convergence in discrete Besov spaces in \cite{Wi}
and in the references in these papers.
Discrete $C^{2+\alpha}$ spaces approach also
encompassing fully nonlinear equations
can be found in \cite{Ho}, \cite{KT}, and \cite{KT1}.

However, in all these references the equations
are assumed to be uniformly non-degenerate.
In this connection note that
in  \cite{BK}, \cite{KR} and many other related papers
   degenerate and even nonlinear equations are considered.
But the setting in these papers is such that {\em linear\/}
elliptic and parabolic equations are included
only if the leading coefficients are constant.

The authors got involved into finite-difference
approximations while trying to establish the rate
of convergence for fully-nonlinear elliptic Bellman equations.
Nondegeneracy of such equations does not help much
and, therefore, we considered degenerate equations.
Also many such equations like the Monge-Amp\`ere equation
or equations in obstacle problems,
say arising in mathematical finance, are degenerate. Therefore,
the interest in degenerate equations is quite natural.
Another point is that for fully nonlinear
degenerate Bellman equations
the higher smoothness of the ``coefficients" generally
does not help get better smoothness of the true solutions.
This is the reason why we
concentrate mainly on  equations with $C^{1}$
and $C^{2}$ coefficients.

The activity related to numerical approximations
for fully nonlinear second order degenerate equations
started few years ago with \cite{On},
\cite{Kr99}, \cite{Kr00}, and then was continued in \cite{BJ1},
\cite{BJ2}, \cite{Do-Kr}, \cite{Ja}, and \cite{Lipschitz}. In many of
these papers the idea is used that the approximating finite-difference
equation and the original one should play symmetric roles. This led
to somewhat restricted results since no estimates of smoothness of
    solutions of finite-difference equations were
available. Nevertheless, restricted or not, even now we cannot
believe that, for the moment,  these are {\em the only\/}
published results on the rate of convergence
    in the sup norm  of finite-difference
approximations even if the Bellman equation becomes a {\em linear\/}
second order     degenerate equation  (variety of
results for nondegenerate case can be found in \cite{BJS},
   \cite{LT},  \cite{RM} and  references therein). One
   also  has to notice  that there is vast literature
about other types of numerical approximations
for linear degenerate equations such as Galerkin or
finite-element approximations
(see, for instance, \cite{La}, \cite{LT}, and  \cite{RM}).
It is also worth noting that under variety of conditions
    the first {\em sharp\/} estimates
for finite-difference approximations
in linear one-dimensional degenerate
case are proved
in~\cite{Zh}.


To explain our main idea note that linear even degenerate
equations often possess smooth solutions, which one can substitute
into the   finite-difference  scheme and then use, say the maximum
principle to estimate the difference between the true solution and
the approximation. We use precisely this quite standard
and well-known method  (see, for instance,
\cite{BJS},  \cite{LT},  \cite{RM})
giving up on the symmetry between the original and approximating
equations.


To be able to apply this method one needs the true solution to have
{\em four\/} spatial derivatives, which hardly often happens in
fully nonlinear even uniformly nondegenerate case. But in the linear
case, if the coefficients are not smooth enough, one can mollify
them and get smooth solutions. However, then the idea described
above would only lead to estimates for discretized equation with
{\em mollified\/} coefficients. Therefore, the main problem becomes
estimating the difference between the solutions of the initial
finite-difference equation and the finite-difference equation
constructed from mollified coefficients. We reduce this problem to
estimating the Lipschitz constant of solutions to finite-difference
equations   and state the central result of this paper as
Theorem \ref{theorem4.1}.

In connection with  the smoothness of solutions of finite-difference
equations, we note that only recently in \cite{Lipschitz} the first
result appeared for fully   nonlinear  elliptic and
parabolic degenerate equations. Of course, the results of
\cite{Lipschitz} are also valid for linear equations. However, the
exposition in \cite{Lipschitz} is aimed at fully nonlinear equations and
has many twists and turns which are not needed in the linear case.
    Understandably, it is desirable to use
only ``linear" methods while developing the theory of linear equations
rather than appeal to a quite technical and much harder
theory of fully nonlinear equations.
Therefore, we decided to write the proofs for the linear case in the
present article.
    We certainly hope that the methods developed here
will be useful in other issues of the theory of linear
equations.
Restricting ourselves to the linear case also
allows us to get sharper results and better rates of convergence for
smoother ($C^{2}$ and $C^{4}$) coefficients.
   In connection with this restriction
it is worth noting a peculiar issue. In a subsequent article
we plan to to treat fully nonlinear equations in {\em domains\/},
and we are not able to make this treatment
any easier if the equation is actually {\em linear}.


One of our results (Theorem \ref{thm2})
bears on the case of {\em Lipschitz\/} continuous
coefficients and data and yields the {\em sup-norm\/} rate
of convergence $h^{1/2}$, where $h$ is the mesh size.
Remark \ref{remark 11_21,1} shows that this result is sharp
even for equations with constant coefficients.
    Although the proof of Theorem \ref{thm2}
based on Theorem \ref{theorem4.1}
is new, its statement can be found in \cite{Ja},
and, actually, follows from Corollary 2.3 of
\cite{Kr00}. However, this way of proving
Theorem \ref{thm2} uses the theory of fully nonlinear equations
and {\em does not\/} allow to get better rates
of convergence if the coefficients of
the equation are smoother. In particular,
in contrast with using  Theorem \ref{theorem4.1},
it will not lead to our results about the rates
$h$ and $h^{2}$ for linear equations with variable coefficients.

The article is organized as follows. Our main results, Theorems
\ref{thm1}-\ref{thm8}, are stated in Section \ref{section 4.12.1}
and proved in Section \ref{section 11.21.3}. Between these two
sections we prove few auxiliary results the most important of which
is Theorem \ref{theorem4.1}. One of the auxiliary results, Lemma
\ref{lemma3.0.3}, is proved in Section \ref{section 11.21.6}.
    Section \ref{section 11.21.7}  contains a discussion
of semidiscretization when only spatial derivatives
    are replaced with finite-differences
and the final Section \ref{section 11.21.1}
contains some comments on possible extensions
of our results.

To conclude the introduction, we set up some notation: $\mathbb{R}^d$ is a
$d$-dimensional Euclidean space with $x=(x^1,x^2,\dots,x^d)$ to be a
typical point in $\mathbb{R}^d$. As usual the summation convention over
repeated indices is enforced unless specifically stated otherwise.
For any $l=(l^1,l^2,\dots,l^d)\in \mathbb{R}^d$ and any differentiable
function $u$ on $\mathbb{R}^d$, we denote $D_lu=u_{x^i}l^i$ and
$D^2_lu=u_{x^ix^j}l^il^j$, etc. By $D_{t}u$, $D^{2}_{t}u$,\dots  we
denote the derivatives of $u=u(t,x)$ in $t$, $D^{j}_{x}u$ is its
generic derivative of order $j$ in $x$.

We use the H\"older spaces $C^{1/2,1}$, $C^{1,2}$, $C^{2,4}$,\dots
of functions of
    $(t,x)\in\mathbb{R}\times\mathbb{R}^{d}$ defined in some subdomains of
$\mathbb{R}\times\mathbb{R}^{d}$. More specifically $C^{1/2,1}$ is the space of
bounded functions having finite H\"older constant of order $1/2$ in
$t$ and continuously differentiable in $x$ with the derivatives
being bounded; $C^{k,2k}$ is the space of functions having $k$
derivatives in $t$ and $2k$ derivatives in $x$, the functions
themselves and their said derivatives are assumed to be bounded and
continuous. These spaces are provided with natural norms: we use the
notation
    $|\cdot|_{k,2k}$ in the case of functions given in
$\mathbb{R}\times\mathbb{R}^{d}$
and $|\cdot|_{H,k,2k}$ in the case of functions given in
$H\subset \mathbb{R}\times\mathbb{R}^{d}$.

Various constants are denoted by $N$ in general and the expression
$N=N(\dots)$ means (and means only)
that the given constant $N$ depends
only on the contents of the parentheses.

\section{The Setting and Main Results}  \label{section 4.12.1}

Let $d_{1},d\geq 1$ be integers, $\ell_{k}$, $k=\pm1,\dots ,\pm d_{1}$
     nonzero vectors in $\mathbb{R}^{d}$ and
$\ell_{k}=-\ell_{-k}$.
    Suppose that
we are given continuous real-valued functions $c(t,x)$, $f(t,x)$,
$g(x)$, $\sigma_{k}(t,x)$, $b_{k}(t,x)\geq 0$, $k=\pm1\dots ,\pm d_{1}$
satisfying
$$
\sigma_{k}=\sigma_{-k}.
$$
    Introduce functions
$\sigma(t,x)$, $a(t,x)$, and $b(t,x)$ taking values in the set of
$d\times 2d_{1}$ and $d\times d$ matrices and $\mathbb{R}^{d}$,
respectively, by
\begin{gather*}
\sigma^{ik}(t,x)=\ell_{k}^{i}\sigma_{k}(t,x),\quad
\sigma(t,x)=(\sigma^{ik}(t,x) ),\\
a=(1/2)\sigma\sigma^{*},\quad b(t,x)= \ell_{r}b_{r}(t,x)
\end{gather*}
with no summation with respect to $k$.

\begin{assumption} \label{ass1} \rm
For an integer $n\in \{1,2,4,6,\dots \}$
     and some numbers $K_n\geq K_{0}\geq 1,\lambda\geq 0$
     we have
\begin{gather*}
\sum_{|k|=1}^{d_{1}}(|\ell_{k}|+
|\sigma_{k} |_{0}^{2}+|b_{k} |_{0})
+|c |_{0}+|f |_{0}+|g |_{0}\leq K_0,
\\
\sum_{|k|=1}^{d_{1}}(|\sigma_{k} |_{n/2,n}^{2}+|b_{k} |_{n/2,n})
+|c |_{n/2,n}+|f |_{n/2,n}+|g |_{n}\leq K_n,
\\
  c(t,x)\geq \lambda.
\end{gather*}
\end{assumption}

Denote
\begin{gather*}
L^0u(t,x) =a^{ij}(t,x)u_{x^ix^j}(t,x) +b^i(t,x)u_{x^i}(t,x),
\\
Lu(t,x)=L^0u(t,x)-c(t,x)u(t,x).
\end{gather*}
Note that, for
$a_{k}(t,x):=(1/2)|\sigma_{k}(t,x)|^{2}$,
we have
$$
a^{ij}(t,x)u_{x^ix^j}=a_{k}(t,x) D^{2}_{\ell_{k} }u.
$$
Let $T\geq 0$ be a constant. We are interested in the following
parabolic equation:
\begin{equation}        \label{parabolic}
\frac{\partial}{\partial t}u(t,x)+Lu(t,x)+f(t,x)=0,
\end{equation}
in $H_T:=[0,T)\times \mathbb{R}^d$ with terminal condition
\begin{equation}
                                            \label{terminal}
u(T,x)=g(x),\quad x\in \mathbb{R}^d.
\end{equation}

We know (see, for instance, \cite{FS}) that under the above
conditions there is a unique bounded viscosity solution $v$ of
(\ref{parabolic})-(\ref{terminal}), which coincides with the
probabilistic one given by
\begin{equation}  \label{sol}
\begin{aligned}
v(t,x)&=Eg(x_{T} )\exp(-\int_t^{T} c(s,x_s)\,ds) \\
&\quad +E\int_t^{T}f(s,x_s ) \exp(-\int_t^s  c(r,x_r)\,dr)\,ds,
\end{aligned}
\end{equation}
where $x_{s}=x_s(t,x)$ is defined as a solution of
\begin{equation}       \label{eq 11.8.1}
x_s =x+\int_t^s\sigma_{k}(r,x_r) \ell_{k}\,dw^{k}_r
+\int_t^sb_{k}(r,x_r)\ell_{k}\,dr,\quad s\geq t,
\end{equation}
     and $w_r$ is a $2d_{1}$-dimensional Wiener process
defined for $r\geq t$.
Due to Assumption \ref{ass1}, we have
$$
|v| \leq K_0(1-e^{-\lambda T})/\lambda+K_0e^{-\lambda T}
\leq K_0(1+T\wedge \lambda^{-1}),
$$
with natural interpretation if $\lambda=0$.


   We use the following
finite-difference approximations. For every  $h>0$, $\tau>0$, $l\in
\mathbb{R}^d$ and $(t,x)\in [0,T)\times \mathbb{R}^d$, introduce:
\begin{gather*}
\delta_{h,l}u(t,x)=h^{-1}(u(t,x+hl)-u(t,x)),\quad
\Delta_{h,l}=-\delta_{h,l}\delta_{h,-l},
\\
\delta _{\tau}u(t,x)=\tau^{-1}(u(t+\tau ,x)-u(t,x)),
\\
\delta^{T}_{\tau}u(t,x)=\tau^{-1}(u(t+\tau_{T}(t),x)-u(t,x)),
\quad\tau_{T}(t)=\tau\wedge(T-t).
\end{gather*}
Note that the first factor
of $\delta^{T}_{\tau}u$  is $\tau^{-1}$ and not $(\tau_{T}(t))^{-1}$.
Also note that
$$
t+\tau_{T}(t)=(t+\tau)\wedge T,
$$
so that to evaluate $\delta^{T}_{\tau}u(t,x)$ in $H_{T}$
we only need to know the values of $u$ in $\bar{H}_{T}$.

Let $\mathcal{B}=\mathcal{B}(\bar{H}_T)$ be the set of all bounded
functions on $\bar{H}_T$. For every $h>0$, we introduce two bounded
linear operators $L^{0}_{h}$ and $L_h:\mathcal{B}\to
\mathcal{B}$:
\begin{equation}          \label{3.30.2}
L^{0}_{h}u=a_{k}(t,x)\Delta_{h,\ell_{k} }u+b_{k}
(t,x)\delta_{h,\ell_{k}}u,\quad L_hu=L^{0}_{h}u-c(t,x)u.
\end{equation}
The finite-difference approximations of $v$ which we have in mind
will be introduced by means of the equation
\begin{equation}
                                    \label{finite}
\delta^{T}_{\tau}u(t,x)+L_hu(t,x)+f(t,x)=0,\,\,\, (t,x)\in H_T,
\end{equation} with terminal condition (\ref{terminal}).

\begin{remark}        \label{remark 4.11.1} \rm
One may think that considering the
operators $L $   written
in the form $a_{k}  D^{2}_{\ell_{k}}+b_{k}  D_{\ell_{k}}+c $
is a severe restriction.
In this connection recall that according to the Motzkin-Wasov
theorem any uniformly nondegenerate operator with
bounded coefficients admits such representation.
It is also  easy to see (cf.~\cite{Do-Kr}) that if we fix a
finite subset $B\subset\mathbb{Z}^{d}$, such that
$\text{Span}\,B=\mathbb{R}^{d}$,    and if an operator
\begin{equation}                      \label{8_22.2}
Lu=a^{ij}u_{x^{i}x^{j}}
+b^{i}u_{x^{i}}
\end{equation}
   admits a  finite-difference approximation
$$
L_{h}u(0)=\sum_{y\in B}p_{h}(y)u(hy)\to Lu(0)
\quad\forall u\in C^{2}
$$
and $L_{h}$ are
     monotone, then automatically
\begin{equation}                    \label{8_22.1}
L=\sum_{ l\in B ,\; l\ne0} a_{l}D^{2}_{l }
  +\sum_{ l\in B ,\; l\ne0} b_{l}D_{l}
\end{equation}
for some $a_{l}\geq0$ and $b_{l}\in\mathbb{R}$.
\end{remark}

Problem (\ref{finite})-(\ref{terminal}) is actually a collection of
disjoint problems given on each mesh associated with points
$(t_0,x_0)\in [0,T)\times \mathbb{R}^d$:
\begin{gather*}
\{\big((t_0+j\tau)\wedge T,x_0+h(i_1\ell_1+\dots
+i_{d_1}\ell_{d_1})\big)\,:
\\
j=0,1,2,\dots,\,i_k=0,\pm 1,\pm 2,\dots,\,k=1,2,\dots,d_1\}.
\end{gather*}
  For fixed $\tau,h>0$ introduce
\begin{gather*}
\bar{\mathcal{M}}_T=\{(t,x) \,:\,t=(j\tau)\wedge
T,x=h(i_1\ell_1+\dots+i_{d_1}\ell_{d_1}),
\\
j=0,1,2,\dots,\,i_k=0,\pm 1,\pm 2,\dots,\,k=1,2,\dots,d_1\}.
\end{gather*}
Results obtained for equations on a subset of $\bar{\mathcal{M}}_T$ can be
certainly translated into the corresponding results for all other
meshes by  shifts of the origin. Another important observation is
that   $\bar{\mathcal{M}}_{T}$  may lie in a subspace of
$\mathbb{R}^{d+1}$.

Note a straightforward property of the above objects.

\begin{lemma}   \label{mono}
For any $h,\tau>0$ we have $(\delta^{T}_{\tau}+L^{0}_{h})1=0$.
Furthermore, denote $p_{\tau,h}=K_0(h^{-2}+h^{-1}+\tau^{-1})$. Then
for any $h,\tau>0$ the operator
$$
u\to \delta^{T}_{\tau}u+L^{0}_{h}u+p_{\tau,h} u
$$
     is monotone, by which we mean
that if $u_1,u_2\in \mathcal{B}$ and $u_1\leq u_2$, then
$$
\delta^{T}_{\tau}u_1+L^{0}_{h}u_1+p_{\tau,h}u_1 \leq
\delta^{T}_{\tau}u_2+L^{0}_{h}u_2+p_{\tau,h}u_2.
$$
\end{lemma}

Let $T'$ be the least point in the progression $\tau,2\tau,\dots $,
which is greater than or equal to $T$. Based on Lemma \ref{mono} and
the contraction mapping theorem, we have the following several lemmas
and corollaries
(see \cite{Lipschitz}). The first one gives the existence and
uniqueness of solutions to (\ref{finite}). The second one plays the
role of comparison principle for finite-difference schemes.


\begin{lemma}  \label{existence}
Take a nonempty set
$$
Q\subset \mathcal{M}_T:=\bar{\mathcal{M}}_T\cap H_T.
$$
   Let $\phi(t,x)$ be a bounded function on $\bar{\mathcal{M}}_T$. 
Then there is a
unique bounded function $u$ defined on $\bar{\mathcal{M}}_T$ such that
equation  \eqref{finite}  holds in $Q$ and $u=\phi$ on
$\bar{\mathcal{M}}_T\setminus Q$.
\end{lemma}

\begin{lemma}          \label{comparison}
Let $u_1$, $u_2$ be functions on $\bar{\mathcal{M}}_T$ and
$f_1(t,x)$,$f_2(t,x)$   functions on $\mathcal{M}_T$.
Assume that in $Q$
$$
\delta^{T}_{\tau}u_1(t,x)+L_hu_1(t,x)+f_1(t,x)\geq
\delta^{T}_{\tau}u_2(t,x)+L_hu_2(t,x)+f_2(t,x).
$$
Let $h\leq 1$ and $u_1\leq u_2$ on $\bar{\mathcal{M}}_T\setminus Q$ and
assume that $u_ie^{-\mu|x|}$ are bounded on $\mathcal{M}_T$, where $\mu\geq
0$ is a constant. Then there exists a constant $\tau^*>0$, depending
only on $K,d_1$, and $\mu$, such that if $\tau\in (0,\tau^*)$ then
on $\bar{\mathcal{M}}_T$
\begin{equation}          \label{eq2.2.2.2}
u_1\leq u_2+T'\sup_Q(f_1-f_2)_+,
\end{equation}
and, if in addition $\lambda\geq 1$, we have
\begin{equation}                 \label{eq2.2.2.20}
u_1\leq u_2+\sup_Q(f_1-f_2)_+.
\end{equation}
Furthermore, $\tau^*(K,d_1,\mu)\to \infty$ as $\mu\downarrow 0$ and
if $u_1,u_2$ are bounded on $\bar{\mathcal{M}}_T$, so that $\mu=0$, then
     \eqref{eq2.2.2.2},  \eqref{eq2.2.2.20}
     hold without any constraints on $h$ and $\tau$.
\end{lemma}

\begin{remark}      \label{remark2.6} \rm
In the sense of viscosity solutions, Lemma \ref{comparison} is also
well known to be
true with the differential operator $L$ in place of $L_h$.
\end{remark}

\begin{corollary}  \label{bound4vh}
Let $c_0\geq 0$ be a constant such that
$$
\tau^{-1}(e^{c_0\tau}-1)\leq \lambda.
$$
Then
$$
|v_{\tau,h}(t,x)|\leq K_0\lambda^{-1}(1-e^{-\lambda(T+\tau)})+
e^{-c_0(T-t)}|g|_0
$$
on $\bar{H}_T$ with natural interpretation of this estimate if
$c_0=\lambda=0$, that is
$$
|v_{\tau,h}|\leq K_0(T+\tau)+|g|_0.
$$
\end{corollary}

\begin{corollary}   \label{compare}
Let $u_1$ and $u_2$ be bounded solutions of  \eqref{finite}  in $H_T$
with terminal condition $g_1(x)$ and $g_2(x)$, where $g_1$ and $g_2$
are given bounded functions. Then under the condition of Corollary
\ref{bound4vh}, in $\bar{H}_T$ we have
$$
u_1(t,x)\leq u_2(t,x)+e^{-c_0(T-t)}\sup(g_1-g_2)_+.
$$
\end{corollary}

\begin{corollary}     \label{cor2.7}
Assume that there is a constant $R$ such that $f(t,x)=g(x)=0$ for
$|x|\geq R$. Then
$$
\lim_{|x|\to \infty}\sup_{[0,T]}|v_{\tau,h}(t,x)|=0.
$$
\end{corollary}

\begin{lemma}             \label{lemma2.9}
Let function $f_n$ and $g_n$, $n=1,2,\dots,$ satisfy the same
conditions as $f,g$ with the same constants and let $v^n_{\tau,h}$
be the unique
bounded solutions of problem
     \eqref{finite}-\eqref{terminal}  with $f_n$ and $g_n$ in place of
$f$ and $g$, respectively. Assume that on $\bar{H}_T$
$$
\lim_{n\to \infty} (|f-f_n|+|g-g_n|)=0.
$$
Then pointwisely $v^n_{\tau,h}\to v_{\tau,h}$ on $\bar{H}_T$.
\end{lemma}

\begin{remark}        \label{remark4.3} \rm
In many cases Lemma \ref{lemma2.9} allows us
to concentrate only on compactly supported $f$ and $g$.
\end{remark}


Here come the main results of this article.

\begin{theorem}   \label{thm1}
Under Assumption \ref{ass1} with $n=1$, there is a constant $N_1$,
depending only on $d$, $d_{1}$, $T$ and $K_1$ (but not on $h$ and
$\tau$) such that
$$
|v-v_{\tau,h}|\leq N_1(\tau^{1/4}+h^{1/2})
$$
in $H_T$. In addition, there exists a constant $N_2$ depending only
on  $d$, $d_1$, and $K_1$, such that if $\lambda\geq
N_2$, then $N_1$ is independent of $T$.
\end{theorem}

\begin{theorem}   \label{thm2}
Under the  assumption of Theorem \ref{thm1}   suppose that
$\sigma,b,c,f$ are independent of $t$ and $\lambda\geq N_2$, where
$N_2$ is taken form Theorem \ref{thm1}. Let $\tilde{v}(x)$ be a
probabilistic or the unique bounded viscosity solution of
$$
Lu(x)+f(x)=0
$$
in $\mathbb{R}^d$. Let $\tilde{v}_h$ be the unique bounded solution of
\begin{equation}
                                                \label{elliptic}
L_hu(x)+f(x)=0
\end{equation}
in $\mathbb{R}^d$. Then
$$
|\tilde{v}-\tilde{v}_{h}|\leq Nh^{1/2}
$$
in $\mathbb{R}^d$, where $N$ depends only on $d,d_1$, and $K_1$.
\end{theorem}

\begin{theorem}     \label{thm3}
Under Assumption \ref{ass1} with $n=2$, there is a constant $N_3$,
depending only on $d$, $d_{1}$, $T$ and $K_2$ (but not on $h$ and
$\tau$) such that
$$
|v-v_{\tau,h}|\leq N_3(\tau^{1/2}+h)
$$
in $H_T$. In addition, there exists a constant $N_4$
depending only on $d$, $d_1$, and $K_1$,
    such that if $\lambda\geq
N_4$, then $N_3$ is independent of $T$.
\end{theorem}

\begin{theorem}  \label{thm4}
Under the  assumption of Theorem \ref{thm3}   suppose that
$\sigma,b,c,f$ are independent of $t$ and $\lambda\geq N_4$, where
$N_4$ is taken form Theorem \ref{thm3}. Then
$$
|\tilde{v}-\tilde{v}_{h}|\leq Nh
$$
in $\mathbb{R}^d$, where $N$ depends only on $d,d_1$, and $K_2$.
\end{theorem}

\begin{theorem}   \label{thm5}
Under Assumption \ref{ass1} with $n=4$, there is a constant $N_5$,
depending only on $d$, $d_{1}$, $T$ and $K_4$ (but not on $h$ and
$\tau$) such that
\begin{equation}    \label{eq2.2.2.8.a}
|v-v_{\tau,h}|\leq N_5(\tau+h )
\end{equation}
in $H_T$. In addition, there exists a constant $N_6$
depending only on $d$, $d_1$, and $K_1$,  such that if $\lambda\geq
N_6$, then $N_5$ is independent of $T$.
\end{theorem}

In the case of $n=4$ we can get an even better estimate with a
different scheme. To state the result we need
to introduce  one more assumption
and somewhat change our notation.

\begin{assumption}  \label{assumption 3.30.1} \rm
We have  $|b_{k}(t,x)|\leq Ka_{k}(t,x)$ for all $k=\pm1,\dots ,\pm
d_{1}$.
\end{assumption}

This time we again
introduce $L_{h}$ as in (\ref{3.30.2})
but use a different formula for   $L^{0}_{h}$:
\begin{equation}            \label{3.30.3}
L^{0}_{h}u(t,x) =a_{k}(t,x)\Delta_{h,\ell_{k}}
u(t,x)+b_{k}(t,x)\delta_{2h,\ell_{k}}u(t,x-h\ell_{k}).
\end{equation}
As above Lemmas \ref{mono}, \ref{existence} and \ref{comparison}
hold true but this time only if
\begin{equation}              \label{12.5.4}
Kh\leq 2.
\end{equation}
    Of course, in Lemma
\ref{existence} and in Theorems \ref{thm3} and
\ref{thm8} below by $v_{\tau,h}$ and $\tilde{v}_{h}$
we mean the
unique bounded solutions of the corresponding
equations with new operators
$L_{h}$ and we assume \eqref{12.5.4}.

\begin{theorem}  \label{thm7}
Under Assumption \ref{ass1} with $n=4$
   and Assumption \ref{assumption 3.30.1}, there is a
constant $N_7$, depending only on $d$, $d_{1}$, $T$ and $K_4$ (but not
on $h$ and
$\tau$) such that
$$
|v-v_{\tau,h}|\leq N_7(\tau+h^2)
$$
in $H_T$. In addition, there exists a constant $N_8$
depending only on $d$, $d_1$, and $K_1$,  such that if $\lambda\geq
N_8$, then $N_7$ is independent of $T$.
\end{theorem}

\begin{theorem}   \label{thm8}
Under the assumptions of Theorem \ref{thm7}  suppose that
$\sigma,b,c,f$ are independent of $t$ and $\lambda\geq N_8$, where
$N_8$ is taken form Theorem \ref{thm7}. Then
$$
|\tilde{v}-\tilde{v}_{h}|\leq Nh^2
$$
in $\mathbb{R}^d$, where $N$ depends only on $d,d_1$, and $K_4$.
\end{theorem}

\begin{remark}    \label{remark 11_21,1} \rm
The rate  in Theorems \ref{thm1} and \ref{thm2} is sharp
at least in what concerns $h$. The reader will see that
Theorem \ref{thm2} is derived from Theorem \ref{thm1} in such a way
that if one could improve the rate in Theorem \ref{thm1}, then the
same would happen with Theorem \ref{thm2} if $\lambda$ is large
enough. So to prove the sharpness we may only concentrate on the
time independent case.

Take $d=2$
and consider the equation
$$
     v_{x}+v_{y}-\lambda v=-g(|x-y|)
$$
in $ \mathbb{R}^{2}=\{(x,y)\}$,
where $g(t)=|t|\wedge1$  and
$\lambda>0$.

Then $v( x,y)=\lambda^{-1}g(|x-y|)$ and
$v(0,0)=0$. It is not hard to show that
     for $\ell_{1}=(1,0)$ and  $\ell_{2}=(0,1)$, we have
$$
v_{ h}( x,y)=u_{h}(x-y),\quad u_{h}(x) = \frac{h}{2+\lambda h}
\sum_{n=0}^{\infty}\big(\frac{2}{2+\lambda h}\big)^{n}
     Eg(x+ h\xi_{n}),
$$
where
$$
\xi_{n}=\sum_{i=1}^{n}\eta_{i}
$$
and $\eta_{1}, \eta_{2}, \dots $
     are independent random variables
such that
$$
P(\eta_{i}=\pm1)=\frac{1}{2}.
$$
The sequence $w_{n}:=\xi_{n}/\sqrt{n}$   is
asymptotically  normal with zero mean and variance 1. Therefore, for
all big $n$ and small $h$ such that  $h^{-2}\geq n$  we have
$(h\sqrt{n})^{-1}\geq1$ and
$$
Eg( h\xi_{n})= E((h|\xi_{n}|)\wedge1)
    = h\sqrt{n}E[|w_{n}|\wedge(h\sqrt{n})^{-1}] \geq \gamma h\sqrt{n}
$$
with constant $\gamma>0$ independent of $n,h$.

It follows that for all small $h$
\begin{align*}
u_{h}(0)&\geq \gamma \frac{h^{2}}{2+\lambda h}
\sum_{h^{-1}\leq n\leq  h^{-2}}\big(\frac{2}{2+\lambda h}\big)^{n}
\sqrt{n}\\
&\geq \gamma \frac{h^{3/2}}{2+\lambda h}
\sum_{h^{-1}\leq n\leq  h^{-2}}\big(\frac{2}{2+\lambda h}\big)^{n}\\
&\geq\gamma \lambda^{-1}h^{1/2} I(h)J(h),
\end{align*}
where
$$
I(h)=\big(\frac{2}{2+\lambda h}\big)^{2/h},\quad
J(h)=1-
\big(\frac{2}{2+\lambda h}\big)^{1/(2h^{2})} .
$$
This shows that the rate under discussion is sharp indeed
since  $I(h)\to e^{-\lambda}$  and $J(h)\to1$ as $h\downarrow0$.
\end{remark}

\begin{remark}   \label{remark2.20} \rm
The estimates in Theorem \ref{thm5} and \ref{thm7} are sharp even
for $d=1$. An example is the following parabolic equation
$$
v_t+v_{xx}+v_x=0,\quad x\in \mathbb{R}\times[0,1),
$$
with periodic terminal condition $g(x)=\sin(2\pi x)$. By
   a  standard Fourier method, we know that for the
scheme in Theorem \ref{thm5}
    ($L_2([0,1])$ is $L_{2}$ in $x$),
$$
\|v(1,\cdot)-v_{\tau,h}(1,\cdot)\|_{L _2([0,1])}=O(\tau+h).
$$
And for the scheme in Theorem \ref{thm7} with symmetric first-order
differences, we have
$$
\|v(1,\cdot)-v_{\tau,h}(1,\cdot)\|_{L_2([0,1])}=O(\tau+h^2).
$$
Thus, with the sup norm the errors are at least $O(\tau+h)$ and
$O(\tau+h^2)$ respectively.
\end{remark}


\section{Smoothness of solutions to (\ref{parabolic})}

    In this section, we state some known results about the smoothness of
    solutions to  degenerate parabolic equations.
The following two lemmas can be found in
\cite{controlled} and \cite{Kr99} or else in Chapter V of
\cite{[introduction]}.

\begin{lemma}       \label{lemma3.0.1}
Under Assumption \ref{ass1} with $n=1$, the solution $v$ of
     \eqref{parabolic}  given by  \eqref{sol}  is bounded and continuous on
$\bar{H}_T$ and differentiable with respect to $x$ continuously in
$(t,x)$. Moreover, there exist constants $M,N$ depending only on
$K_1$, $d$, and $d_1$, such that,
$$
|v(t,y)-v(s,x)|\leq Ne^{(M-\lambda)_+T}(|t-s|^{1/2}+|y-x|),
$$ for all
$(t,y),(s,x)\in \bar{H}_T$ with $|t-s|\leq 1$.
\end{lemma}

\begin{lemma}                 \label{lemma3.0.2}
Under Assumption \ref{ass1} with $n=2$, the solution $v$ is twice
continuously in $(t,x)$ differentiable with respect to $x$  and
continuously in $(t,x)$ differentiable with respect to $t$.
Moreover, there exist constants $N$   depending only on
$K_2$, $d$ and $d_1$, and $M$ depending only on $K_1$, $d$, and $d_1$
     such that
$$
|v|_{\bar{H}_T,1,2}\leq Ne^{(M-\lambda)_+T}
$$
\end{lemma}

The proofs in \cite{[introduction]} of the above lemmas are given by
using probabilistic methods and moment estimates. By the same
methods, we can get the following general  result (cf.
\cite{[introduction]}, \cite{Dong}). For the sake of completeness,
we give a proof of it in  Section \ref{section
11.21.6}.

\begin{lemma}        \label{lemma3.0.3}
{\rm (i)} Let $m\geq 1$ be an integer. Under Assumption \ref{ass1} with
$n=2m$, the solution  \eqref{sol} is $2m$ times continuously
differentiable with respect to $x$ on $\bar{H}_T$ and $m$ times
continuously differentiable with respect to $t$ on $\bar{H}_T$.
Moreover, there exist constants $N$  depending only on
$m$, $K_{2m}$, $d$, and $d_1$, and $M$ depending only on $m$, $K_1$,
$d$, and $d_1$, such that
$$
|v|_{\bar{H}_T,m,2m}\leq Ne^{(M-\lambda)_+T}.
$$

\noindent{\rm (ii)} If there is a constant $N_0$ and integer $l\geq 1$
such that
$$
K_j\leq N_0/\varepsilon^{(j-l)_+},\quad j\leq 2m,
$$
for some positive number $\varepsilon\leq 1$, then we have
$$
|v|_{\bar{H}_T,m,2m}\leq
N(N_0,d_1,d,m)e^{(M-\lambda)_+T}/\varepsilon^{(2m-l)_+}.
$$
\end{lemma}

In what follows we will only use Lemma \ref{lemma3.0.3}
for $m=1, 2$ and $l=1, 2$.
The next theorem is about  continuous dependence of solutions
with respect to
the coefficients and the terminal conditions.

\begin{theorem}            \label{thm3.4}
Let $\sigma_k$, $b_k$, $c$, $\lambda$, $f$, $g$, $\hat{\sigma}_k$,
$\hat{b}_k$, $\hat{c}$, $\hat{\lambda}$, $\hat{f}$, $\hat{g}$
satisfy Assumption \ref{ass1} with $n=1$ and
$\hat{\lambda}=\lambda$. Let $v$ and $\hat{v}$ be the corresponding
solutions of  \eqref{parabolic}-\eqref{terminal}. Assume
$$
\gamma:=\sup_{H_T,k}\big(|\sigma_k-\hat{\sigma}_k|
+|b_k-\hat{b}_k|+|c-\hat{c}|+|f-\hat{f}|\big)+\sup_x|g-\hat{g}|<\infty.
$$
Then there are constants $N$ and $M$ depending only on
$K_1$, $d$, and $d_1$  such that on $\bar{H}_T$
$$
|v-\hat{v}|\leq N\gamma e^{(M-\lambda)_+T}
$$
\end{theorem}

\begin{proof}
Consider $\mathbb{R}^d$ as a subspace of
$$
\mathbb{R}^{d+1}=\{x=(x',x^{d+1}):x'\in \mathbb{R}^d,x^{d+1}\in \mathbb{R}\}.
$$
Introduce
\begin{gather*}
\bar{H}_T(d+1)=\{(t,x',x^{d+1}):(t,x')\in \bar{H}_T,x^{d+1}\in \mathbb{R}\},
\\
{H}_T(d+1)=\{(t,x)\in \bar{H}_T(d+1):t<T\}.
\end{gather*}
Let $\eta\in \mathcal{C}^1_b(\mathbb{R})$ be a function such that
$$
\eta(-1)=1,\,\,\eta(0)=0,\,\,\eta'(p)=\eta'(q)=0\quad\text{for}\quad
p\leq-1,q\geq0.
$$
Set
$$
\tilde{\sigma_k}(t,x)=
\hat{\sigma_k}(t,x')\eta(x^{d+1}/\gamma)
+\sigma_k(t,x')(1-\eta(x^{d+1}/\gamma))
$$
and similarly introduce $\tilde{b}_k$, $\tilde{c}$, $\tilde{f}$,
     and $\tilde{g}$.

It is easy to check that Lemma \ref{lemma3.0.1} is applicable to our
new objects, and we denote $\tilde{v}$ to be the solution of
(\ref{parabolic})-(\ref{terminal}) with $\tilde{\sigma}_k$,
$\tilde{b}_k$, $\tilde{c}$, $\tilde{f}$, $\tilde{g}$, $\tilde{f}$ in
place of $\sigma_k$, $b_k$, $c$, $f$ and $g$.   Note this is
actually a collection of disjoint problems parameterized by
$x^{d+1}$.   By the uniqueness of solutions, obviously for any
$(t,x')\in \bar{H}_T$
$$
\tilde{v}(t,x',-\gamma)=\bar{v}(t,x'),\quad
\tilde{v}(t,x',0)=v(t,x').
$$
Therefore, the assertion of the theorem follows from Lemma
\ref{lemma3.0.1}.
\end{proof}

\section{Some estimates for solutions to  linear finite
difference equations}

In this section, we give several results about Lipschitz continuity
of  solution $u=v_{\tau,h}$ to linear finite
difference equation. Firstly, observe that
\begin{equation}   \label{eq5.0.1b}
\begin{gathered}
\Delta_{h,l}(v^{2})=2v\Delta_{h,l}v
+(\delta_{h,l}v)^{2}+(\delta_{h,-l}v)^{2},
\\
\delta_{h,l}(uv)=u\delta_{h,l}v
+v\delta_{h,l}u+h\delta_{h,l}u\delta_{h,l}v.
\end{gathered}
\end{equation}
We fix an $\varepsilon\in (0, h]$ and a unit vector $l\in \mathbb{R}^d$ and
introduce
$$
\bar{\mathcal{M}}_T(\varepsilon):=\{(t,x+i\varepsilon l):(t,x)\in
\bar{\mathcal{M}}_T,i=0,\pm 1,\dots\}.
$$
Let $Q\subset \bar{\mathcal{M}}_T(\varepsilon)$ be a nonempty finite set and
$u$ a function on $\bar{\mathcal{M}}_T(\varepsilon)$ satisfying (\ref{finite})
in $Q'=Q\cap H_T$.

We add two more directions $\ell_{d_1+1}:=l$ and $\ell_{-d_1-1}:=-l$ and
let $r$ be an
index running through $\{\pm 1,\dots,\pm (d_1+1)\}$ and
$k$ through $\{\pm 1,\dots,\pm d_1\}$. Denote
$$
h_k=h,\,\,k=\pm 1,\dots,\pm d_1,\,\,h_{\pm (d_1+1)}=\varepsilon.
$$
Define the interior and boundary of $Q$:
\begin{gather*}
Q^o_{\varepsilon}=\{(t,x)\in Q':(t+\tau_T(t),x),(t,x\pm
h_k\ell_k)\in Q,\forall k=1,2,\dots,d_1+1\}.
\\
\partial_{\varepsilon}Q=Q\setminus Q^o_{\varepsilon}.
\end{gather*}

\begin{theorem}    \label{theorem4.1}
Under Assumption \ref{ass1} with $n=1$,
suppose that there are constants $N_{0},c_{0}\geq 0$,
$\gamma>0$ such that
\begin{equation}    \label{eq4.0.0.1}
     K_1^2 [(2d_1+15)K_1+6]    \leq
-\gamma+ \lambda+\tau^{-1}(1-e^{-c_0\tau})
+N_{0}\inf_{Q^{0}_{\varepsilon},k}a_{k},
\end{equation}
which always holds with $N_{0}=c_{0} =0$ if
$$
      K^2_{1} [(2d_1+15)K_1+6]  \leq   \lambda-\gamma.
$$
Then there is a constant $N\in (0,+\infty)$ depending only on
    $N_{0}$, $K_1$, $d_1$, $d$, and $\gamma$, such that on
$Q$
$$
|\delta_{\varepsilon,\pm l}u|\leq Ne^{c_0(T+\tau)}\big(1+
\max_{Q}|u|+\max_{\partial_{\varepsilon}Q}
(\max_r|\delta_{h_r,\ell_r}u|)\big).
$$
\end{theorem}

\begin{proof}
Set $\xi(t)=e^{c_0t}$ for $t<T$ and
$\xi(T)=e^{c_0T'}$,
$w=\xi u$, $w_r=\delta_{h_r,\ell_r}w$,
$w_{\tau}=\delta^{T}_{\tau}w$.
Denote
$$
W=\sum_rw_r^{2},\quad M=N_{0}+1
$$
and let $(t_0,x_{0})$ be  a point at which
$$
V:=W+Mw^{2}
$$
takes its maximum value on $Q$.
It is easy to see that
\begin{equation}        \label{eq5.3.111}
\max_{Q,r}|w_r|\leq V^{1/2}(t_0,x_0), \quad |\delta_{\varepsilon,\pm
l}u|\leq V^{1/2}(t_0,x_0)
\end{equation}
on $Q$  and we need only estimate $V(t_0,x_0)$.
Furthermore, obviously
\begin{align*}
V^{1/2}(t,x)&\leq 2(d_1+1)\max_r|w_r(t,x)| +\sqrt{M}|w(t,x)|\\
&\leq e^{c_0(T+\tau)}[
     2(d_1+1)\max_r|\delta_{h_r,\ell_r}u(t,x)|
+\sqrt{M}|u(t,x)|] ,
\end{align*}
so while estimating $V(t_0,x_0)$ we may assume that $(t_0,x_0)\in
Q_{\varepsilon}^0$.
Then for each $k=\pm1, \pm2,\dots ,\pm d_1$ at $(t_0,x_{0})$ we have
\begin{equation}      \label{eq5.1.1}
0\geq\delta_{h,\ell_{k}}V = 2\sum_{r}w_r\delta_{h,\ell_{k}}
w_r+2Mww_k +h\sum_{r}(\delta_{h,\ell_{k}}w_r)^{2} +Mhw_k^{2},
\end{equation}
\begin{equation}          \label{eq5.1.2}
\begin{aligned}
0\geq\Delta_{h,\ell_{k}}V
&=2\sum_{r}w_r \Delta_{h,\ell_{k}}w_r+2Mw\Delta_{h,\ell_{k}}w \\
&\quad + \sum_{r}(\delta_{h,\ell_{k}}w_r)^{2}
+\sum_{r}(\delta_{h,\ell_{-k}}w_r)^{2}+Mw_k^{2} +Mw_{-k}^{2},
\end{aligned}
\end{equation}
\begin{equation}      \label{eq5.1.3}
\begin{aligned}
0\geq\delta^{T}_{\tau}V&= 2\sum_{r}w_r\delta^{T}_{\tau}
w_r+2Mww_{\tau} \\
&\quad  +\tau_{T}\sum_{r}(\delta^{T}_{\tau}w_r)^{2}
+M\tau_{T}
w_{\tau}^{2}\geq2\sum_{r}w_r\delta^{T}_{\tau}
w_r+2Mww_{\tau}.
\end{aligned}
\end{equation}
It follows from (\ref{eq5.1.1}) and (\ref{eq5.1.2})
and our assumption: $a_{k}=a_{-k}\geq0,b_{k}\geq0$,
that
\begin{equation}     \label{eq5.1.4}
0\geq2w_rL^0_{h} w_r +2MwL^0_{h} w +(2a_{k}+b_{k}h)
\big[\sum_{r}(\delta_{h,\ell_{k}}w_r)^{2} +Mw_k^{2}\big].
\end{equation}
On the other hand, due to (\ref{eq5.0.1b}),
\begin{align*}
-\delta_{h_r,\ell_{r}}f
&=\delta^{T}_{\tau}(\xi^{-1}w_r)+\xi^{-1}\big[a_{k}
\Delta_{h,\ell_{k}}w_r+(\delta_{h_r,\ell_{r}}a_{k})
\Delta_{h,\ell_{k}}w
\\
&\quad +h_r(\delta_{h_r,\ell_{r}}a_{k})
\Delta_{h,\ell_{k}}w_r+b_{k}\delta_{h,\ell_{k}}w_r
+(\delta_{h_r,\ell_{r}}b_{k})\delta_{h,\ell_{k}}w
\\
&\quad +h_r(\delta_{h_r,\ell_{r}}b_{k})\delta_{h,\ell_{k}}w_r
-cw_r-(\delta_{h_r,\ell_{r}}c)w
-h_r(\delta_{h_r,\ell_{r}}c)w_r\big],
\end{align*}
where and in a few lines below there is no summation in $r$.
Here  (recall that $h\Delta_{h,\ell_{k}}u=\delta_{h,\ell_{k}}u
+\delta_{h\ell_{-k}}u$)
\begin{gather*}
h_r(\delta_{h_{r},\ell_{r}}a_{k})\Delta_{h,\ell_{k}}w_r
= 2h_rh^{-1}
     (\delta_{h_{r},\ell_{r}}a_{k})\delta_{h,\ell_{k}}w_r,
\\
\delta^{T}_{\tau}(\xi^{-1}w_r)=\xi^{-1}\big(e^{-c_0\tau}
\delta^{T}_{\tau} w_r
-\tau^{-1}(1-e^{-c_0\tau})w_r\big).
\end{gather*}
Hence,
\begin{equation}      \label{eq5.1.5}
\begin{aligned}
-\xi\delta_{h_r,\ell_{r}}f
&=e^{-c_0\tau}\delta^{T}_{\tau}w_r+L^0 w_r+(\delta_{h_r,\ell_{r}}a_{k})
\Delta_{h,\ell_{k}}w
\\
&\quad +   2h_rh^{-1} (\delta_{h_r,\ell_{r}}a_{k}) \delta_{h,\ell_{k}}w_r
+(\delta_{h_r,\ell_{r}}b_{k})\delta_{h,\ell_{k}}w
+h(\delta_{h_r,\ell_{r}}b_{k})\delta_{h,\ell_{k}}w_r
\\
&\quad -(c+\tau^{-1}(1-e^{-c_0\tau}))w_r-(\delta_{h_r,\ell_{r}}c)w
-h_r(\delta_{h_r,\ell_{r}}c)w_r.
\end{aligned}
\end{equation}
We multiply (\ref{eq5.1.5}) by $2w_r$, sum up in $r$ and use
(\ref{eq5.1.3}) and (\ref{eq5.1.4}). Then at $(t_{0},x_{0})$ we obtain
\begin{equation}      \label{5.20.1}
\begin{aligned}
-2\xi w_r\delta_{h_r,\ell_{r}}f
&\leq -e^{-c_0\tau} 2Mww_{\tau}  -2MwL^0_{h} w
\\
&\quad -(2a_{k}+b_{k}h)\sum_{r} (\delta_{h,\ell_{k}}w_r)^{2}
-M(2a_{k}+b_{k}h)w_k^{2}
\\
&\quad -2(c+\tau^{-1}(1-e^{-c_0\tau}))\sum_{r}w_r^{2} +I,
\end{aligned}
\end{equation}
where
\begin{align*}
I:=& 2w_r\big[\psi_{rk}\delta_{h_r,\ell_{r}}a_{k}
+ (\delta_{h_r,\ell_{r}}b_{k})\delta_{h,\ell_{k}}w\\
&+h_r(\delta_{h_r,\ell_{r}}b_{k})\delta_{h,\ell_{k}}w_r
-(\delta_{h_r,\ell_{r}}c)w -h_r(\delta_{h_r,\ell_{r}}c)w_r\big],
\end{align*}
$$
\psi_{rk}=\Delta_{h,\ell_{k}}w+   2h_rh^{-1}
\delta_{h,\ell_{k}}w_r.
$$
Now note that
$$
L^0_{h} w+e^{-c_0\tau}w_{\tau}=-\xi f+
(c+\tau^{-1}(1-e^{-c_0\tau}))w,
$$
so that \eqref{5.20.1} becomes
\begin{equation}      \label{11.2.1}
\begin{aligned}
-2Mw\xi f-2\xi w_r\delta_{h_r,\ell_{r}}f
&\leq-2(c+\tau^{-1}(1-e^{-c_0\tau}))(W+Mw^{2})
\\
&\quad -(2a_{k}+b_{k}h)\sum_{r} (\delta_{h,\ell_{k}}w_r)^{2}
-M(2a_{k}+b_{k}h)w_k^{2}+I.
\end{aligned}
\end{equation}
To estimate $I$ observe that, since $a_{k}=(1/2)\sigma^{2}_{k}$, we have
\begin{gather*}
\delta_{h_r,\ell_{r}}a_{k}=\sigma_{k}\delta_{h_r,\ell_{r}}\sigma_{k}
+(1/2)h_r(\delta_{h_r,\ell_{r}}\sigma_{k})^{2},
\\
J:=2w_{r}\psi_{rk}\delta_{h_r,\ell_{r}}a_{k}
=2w_{r}(\delta_{h_r,\ell_{r}}\sigma_{k})\psi_{rk}\sigma_{k}
+w_{r}\psi_{rk} h_r(\delta_{h_r,\ell_{r}}\sigma_{k})^{2}.
\end{gather*}
Furthermore,  by using inequalities like $(a+b)^2\leq 2a^2+2b^2$, we get
$$
\frac{1}{4}\sum_{r,k}\psi^{2}_{rk}\sigma^{2}_{k}=
\frac{1}{2}\sum_{r,k}a_{k}\psi^{2}_{rk}\leq
2(d_1+3)\sum_{r,k}a_{k} (\delta_{h,\ell_{k}}w_r)^{2},
$$
and for each $k$ and $r$
$$
|\psi_{rk} h_r|^{2}\leq    36  \sup_{Q,p}|w_{p}|^{2} \leq
  36 \sup_{Q
}(\sum_{p}|w_{p}|^{2}+Mw^{2})= 36 V.
$$
It follows that
$$
|\sum_{r,k}w_{r}\psi_{rk} h_r(\delta_{h_r,\ell_{r}}\sigma_{k})^{2}|
\leq
  6 V\sum_{k,r}(\delta_{h_r,\ell_{r}}\sigma_{k})^{2},
$$
\begin{align*}
J&\leq2\sum_{r,k}a_{k} (\delta_{h,\ell_{k}}w_r)^{2}+
4(d_1+3)\sum_{r,k}w^{2}_{r} (\delta_{h_r,\ell_{r}}\sigma_{k})^{2} +
  6 V\sum_{k,r}(\delta_{h_r,\ell_{r}}\sigma_{k})^{2}
\\
&\leq2\sum_{r,k}a_{k} (\delta_{h,\ell_{k}}w_r)^{2}+
     2(2d_1+15)V K^3_{1} .
\end{align*}
This takes care of the first term in the definition of $I$.

Next, for the operator $T_{l}:u\to u(t,x+l)$ we have
\begin{align*}
&\big|2w_{r}[ (\delta_{h_r,\ell_{r}}b_{k})\delta_{h,\ell_{k}}w
+h_r(\delta_{h_r,\ell_{r}}b_{k})\delta_{h,\ell_{k}}w_r]\big|\\
&= \big|2w_{r} (\delta_{h_r,\ell_{r}}b_{k})T_{h_{r}\ell_{r}}
     w_{k}\big|\\
&\leq  2V\sum_{r,k}|\delta_{h_r,l_r}b_k|\leq 6K_1^2V ,
\end{align*}
\begin{align*}
&\big|2w_{r}[ -(\delta_{h_r,\ell_{r}}c)w
-h_r(\delta_{h_r,\ell_{r}}c)w_r]\big|\\
&=\big|2w_{r}(\delta_{h_r,\ell_{r}}c)T_{h_{r}\ell_{r}}w\big| \\
& \leq 2M^{-1/2}V|\sum_r\delta_{h_r,l_r}c|\leq
6K_1^2M^{-1/2}V .
\end{align*}
Thus we estimated all terms in $I$ and from \eqref{11.2.1}
conclude that
\begin{align*}
-2M\xi f-2\xi w_r\delta_{h_r,\ell_{r}}f
&\leq-2(c+\tau^{-1}(1-e^{-c_0\tau}))V \\
&\quad +2K^2_{1} [(2d_1+15)K_1+3+3M^{-1/2}] \\
&\quad -2 MV\inf_{Q^{0}_{\varepsilon},k}a_{k} +2M^{2}w^{2}
\inf_{Q^{0}_{\varepsilon},k}a_{k}.
\end{align*}
Now since $M^{-1/2}\leq 1 $, condition \eqref{eq4.0.0.1}
implies that
$$
2\gamma V\leq  2\xi w_r\delta_{h_r,\ell_{r}}f +2Mw\xi f+2M^{2}w^{2}
\inf_{Q^{0}_{\varepsilon},k}a_{k}
\leq \gamma V+N\xi^{2}  +N\xi^{2}\max_{Q}|u|^2   .
$$
It follows that
$$
\gamma  V \leq N\xi^{2} +  N\xi^{2}\max_{Q}|u|^2 ,
$$
which along   with (\ref{eq5.3.111})  brings the
proof of Theorem \ref{theorem4.1} to an end.
\end{proof}

\begin{remark}         \label{remark4.2} \rm
     Condition \eqref{eq4.0.0.1}  is obviously satisfied
for any $\lambda,c_{0}$, and $\gamma$ if our operator
is uniformly nondegenerate so that $a_{k}\geq
\mu$ for some constant $\mu>0$.
\end{remark}

On the basis of Theorem \ref{theorem4.1}, Corollary \ref{cor2.7} and
Lemma \ref{lemma2.9}, the following theorem can be proved in the
same way as Theorem 5.6 is deduced from Theorem 5.2 in
\cite{Lipschitz}. The method of proof is similar to that of Theorem
\ref{thm3.4} and consists of adding a new variable and considering
the coefficients with hats (see below)
as values of the corresponding
coefficients for one value of the additional coordinate and the
original coefficients as the values at a close value of the
additional coordinate.


\begin{theorem}   \label{thm4.3}
Let $\hat{\sigma}_k$, $\hat{b}_k$, $\hat{c}$, $\hat{\lambda}$,
$\hat{f}$ satisfy the assumptions in Section 2 with $n=1$ and
let
$\hat{\lambda}=\lambda$. Let $u$ be a function on $\bar{\mathcal{M}}_T$
satisfying \eqref{finite} in $\mathcal{M}_T$ and let $\hat{u}$ be a function
on $\bar{\mathcal{M}}_T$ satisfying \eqref{finite}  in $\mathcal{M}_T$ with
$\hat{a}_k$, $\hat{b}_k$, $\hat{c}$, $\hat{f}$ in place of $a_k$,
$b_k$, $c$, $f$ respectively. Assume that $u$ and $\hat{u}$ are
bounded on $\bar{\mathcal{M}}_T$ and
$$
|u(T,\cdot)|,|\hat{u}(T,\cdot)|\leq K_1.
$$
Introduce
$$
\mu=\sup_{\mathcal{M}_T,k}\big(|\sigma_k-\hat{\sigma}_k|
+|b_k-\hat{b_k}|+|c-\hat{c}|+|f-\hat{f}|\big).
$$
Suppose that there exist constants $N_{0},c_{0}\geq0$,
$\gamma>0$ such that \eqref{eq4.0.0.1} holds. Then
     there is a constant $N$   depending only on $N_{0}$,
$K_1$, $d$,  $\gamma$, and $d_1$,  such that
$$
|u-\hat{u}|\leq N\mu e^{c_0(T+\tau)}I
$$
on $\bar{\mathcal{M}}_T$, where
$$
I=\sup_{x\in \mathbb{R}^d}\big(1+(\max_k|\delta_{h,\ell_k}u|
+\max_k|\delta_{h,\ell_k}\hat{u}|
+\mu^{-1}|u-\hat{u}|)(T,x)\big).
$$
\end{theorem}

\section{Proof of Theorems \ref{thm1}-\ref{thm8}}
                                                   \label{section 11.21.3}
Before starting we make a general comment on our proofs. While
estimating $|v(t,x)-v_{\tau,h}(t,x)|$ we may fix $(t,x)\in H_{T}$
and since we can always shift the origin, we may confine ourselves
to $t=0$ and $x=0$. In particular, it suffices to obtain estimates
of $|v(t,x)-v_{\tau,h}(t,x)|$ for $t=0$ and $(0,x)\in\mathcal{M}_{T}$. Next,
if  $h>1$ our estimates become trivial since we are dealing with
bounded functions. The same goes for $\tau$. Therefore, we assume
that
$$
\tau+h\leq1,
$$
  and $\tau^{-1}\geq N(d_1,K_1)$ such that
\eqref{eq4.0.0.1} is satisfied with $\gamma=1$, $N_0 =0$ and
$c_0$ sufficiently large.  We also remind the reader that $T'$ is
the least of $\tau ,2\tau,3\tau,\dots $ which is $\geq T$.

\begin{proof}[Proof of Theorem \ref{thm5}] Due to
Lemma \ref{lemma3.0.3}, we have
\begin{equation}
                                            \label{eq5.1}
|v|_{\bar{H}_T,2,4} \leq N(K_4,d,d_1)e^{(M-\lambda)_+T}.
\end{equation}
     Set $v_*$ to be the unique bounded viscosity
solution of (\ref{parabolic}) in $\bar{H}_{T'}$ with terminal
condition $v_*(T',x)=g(x)$. Then $v_*$ satisfies the same inequality
(\ref{eq5.1}) with $T'$ in place of $T$, and also since $T'$ is a
multiple of $\tau$ we have $\delta^{T'}_{\tau}=\delta_{\tau}$ on
$\mathcal{M}_{T'}$. Thus by shifting the coordinates and using
(\ref{eq5.1}), for any $x\in \mathbb{R}^d$ we have
\begin{align*}
|v_*(T,x)-g(x)|
&\leq (T'-T)|v_*(T+\cdot,\cdot)|_{\bar{H}_{T'-T},1,2}
\\
&\leq N(K_4,d,d_1)e^{(M-\lambda)_+(T'-T)}(T'-T).
\end{align*}
Due to Corollary \ref{compare}, on $\bar{H}_T$ we obtain
$$
|v_*(t,x)-v(t,x)| \leq N(K_4,d,d_1)e^{(M-\lambda)_+(T'-T)}\tau.
$$
Also observe that if on $\mathcal{M}_{T'}$ ($=\mathcal{M}_{T}$) we define
$\bar{v}_{\tau,h}=v_{\tau,h}$ and let
$\bar{v}_{\tau,h}(T',x)=v_{\tau,h}(T,x)$ ($=g(x)$), then   on
$\mathcal{M}_{T'}$
$$
\delta^{T'}_{\tau}=\delta_{\tau},\quad
\delta^{T'}_{\tau}\bar{v}_{\tau,h}=
\delta^{T }_{\tau}v_{\tau,h},\quad
\delta ^{T'}_{\tau}\bar{v}_{\tau,h}+L_{h}\bar{v}_{\tau,h}+f=0.
$$
It follows  by Taylor's formula that on $\mathcal{M}_{T'}$
\begin{align*}
&|\big(\delta^{T'}_{\tau}+L_h\big)
\big(\bar{v}_{\tau,h}-v_*(t,x)\big)| \\
&=\big|\big(D_t+L\big)v_*(t,x)
-\big(\delta_{\tau}+L_h\big) v_*(t,x)\big|
\\
&\leq N(d_1,K_4)(\tau\sup_{\bar{H}_{T'}}|D_t^2v_*|
+h\sup_{\bar{H}_{T'}}|D_x^2v_*|
+h^2\sup_{\bar{H}_{T'}}|D_x^4v_*|)
\\
&\leq N(d_1,d,K_4)e^{(M-\lambda)_+T'}(\tau+h).
\end{align*}
     By using Lemma \ref{comparison}, we obtain on $\mathcal{M}_{T'}$
\begin{gather*}
|v_*-v_{\tau,h}|=|v_*-{\bar v}_{\tau,h}| \leq N(d_1,K_4)
e^{(M-\lambda)_+T'}T'(\tau+h),
\\
|v-v_{\tau,h}| \leq |v-v_*| +|v_*-v_{\tau,h}|
\leq N(d_1,d,K_4)e^{(M-\lambda)_+T'}(T'+1)(\tau+h).
\end{gather*}
For $\lambda\geq 1+M$, we use the assertion in Lemma
\ref{comparison} related to (\ref{eq2.2.2.20}) and get
$$
|v-v_{\tau,h}| \leq N(d_1,d,K_4)(\tau+h).
$$  Theorem \ref{thm5} is proved.
\end{proof}

\begin{proof}[Proof of Theorem \ref{thm1}]
  We adopt the idea of mollification. Take a nonnegative function $\zeta\in
C_0^\infty(\mathbb{R}^{d+1})$ with support in $(-1,0)\times B_1$ and unit
integral. For any bounded function $u$ and $0<\varepsilon\leq 1$, we
define the mollification of $u$ by
$$
u^{(\varepsilon)}=\varepsilon^{-d-2}
\int_{\mathbb{R}^{d+1}}u(s,y)\zeta((t-s)/\varepsilon^2,(x-y)/\varepsilon)\,ds\,dy.
$$
It is well known (cf.~Lemma \ref{lemma 12.4.1}) that
$u^{(\varepsilon)}$ is a smooth function on
$\mathbb{R}^{d+1}$. And if $|u|_{1/2,1}\leq K_0$, then for any integer
$m\geq 1$ we have
\begin{gather} \label{eq5.4}
|u^{(\varepsilon)}|_{m,2m}\leq N(K_0,d,m)\varepsilon^{1-2m},
\\       \label{eq5.4.1}
|u^{(\varepsilon)}-u|_0\leq N(K_0,d)\varepsilon.
\end{gather}
Next, let $v^{\varepsilon}$ be the solution of
(\ref{parabolic})-(\ref{terminal}) with $\sigma^{(\varepsilon)}_k$,
$b^{(\varepsilon)}_k$,  $c^{(\varepsilon)}$, $f^{(\varepsilon)}$,
$g^{(\varepsilon)}$ in place of $\sigma_k$, $b_k$, $c$, $f$ and $g$. By
$L^{\varepsilon}_{h}$ we denote the finite-difference operator
corresponding to $\sigma^{(\varepsilon)}_k$, $b^{(\varepsilon)}_k$,
$c^{(\varepsilon)}$, $f^{(\varepsilon)}$. Similarly, we introduce
$v^{\varepsilon}_*$ as in the proof of Theorem \ref{thm5}. Also let
$v_{\tau,h}^{\varepsilon}$ be the corresponding solution of the finite
difference equation. Upon using (\ref{eq5.4}) with
$u=\sigma_k,b_k,c,f,g$ and Lemma \ref{lemma3.0.3} with $m=1,2$, we
get
\begin{gather}                      \label{12.5.1}
|v^{\varepsilon}|_{\bar{H}_T,1,2}\leq
\varepsilon^{-1}N(K_1,d,d_1)e^{(M-\lambda)_+T},
\\              \label{12.5.2}
|v^{\varepsilon}|_{\bar{H}_T,2,4}\leq
\varepsilon^{-3}N(K_1,d,d_1)e^{(M-\lambda)_+T},
\end{gather}
for some $M$ depending only on $K_1$, $d$, and $d_1$. Two similar
estimates hold for $v^{\varepsilon}_*$ in place of $v^{\varepsilon}$.
Therefore, by shifting the coordinates, we get
\begin{align*}
|v^{\varepsilon}_*(T,x)-g(x)|
&\leq (T'-T)|v^{\varepsilon}_*(T+\cdot,\cdot)|_{\bar{H}_{T'-T},1,2}
\\
&\leq \varepsilon^{-1}N(K_1,d,d_1)e^{(M-\lambda)_+(T'-T)}\tau.
\end{align*}
Due to Corollary \ref{compare}, on $\bar{H}_T$ we obtain
\begin{equation}    \label{eq5.1.b}
|v^{\varepsilon}_*(t,x)-v^{\varepsilon}(t,x)| \leq
\varepsilon^{-1}N(K_1,d,d_1)e^{(M-\lambda)_+(T'-T)}\tau.
\end{equation}
As before, we introduce ${\bar v}^{\varepsilon}_{\tau,h}$.
By Taylor's formula, on $\mathcal{M}_{T'}$
\begin{align*}
&|\big(\delta^{T'}_{\tau} +L^{ \varepsilon }_h\big) \big(
   {\bar v}^{\varepsilon}_{\tau,h}(t,x)
   -v_*^{\varepsilon}(t,x)\big)|\\
&=\big|\big(D_t+L^{\varepsilon}\big)v_*^{\varepsilon}(t,x)
-\big(\delta_{\tau}+L^{
\varepsilon }_h\big)v_*^{\varepsilon}(t,x)\big|
\\
&\leq N(d_1,d,K_1)(\tau\sup_{\bar{H}_{T'}}|D_t^2v_*^{\varepsilon}|
+h\sup_{\bar{H}_{T'}}|D_x^2v_*^{\varepsilon}|
+h^2\sup_{\bar{H}_{T'}}|D_x^4v_*^{\varepsilon}|)
\\
&\leq N(d_1,d,K_1)e^{(M-\lambda)_+{T'}}
(\varepsilon^{-3}\tau+\varepsilon^{-1}h+\varepsilon^{-3}h^2).
\end{align*}
    By using Lemma
\ref{comparison}, we obtain
\begin{equation}       \label{eq5.7}
\begin{aligned}
|v_*^{\varepsilon}(t,x)-v^{ \varepsilon }_{\tau,h}(t,x)|
&=|v_*^{\varepsilon}(t,x)-{\bar v}^{ \varepsilon }_{\tau,h}(t,x)|\\
&\leq N(d_1,d,K_1)e^{(M-\lambda)_+T'}T'
(\varepsilon^{-3}\tau+\varepsilon^{-1}h+\varepsilon^{-3}h^2)
\end{aligned}
\end{equation}
  for any $(t,x)\in \mathcal{M}_{T'}$.

Owing to (\ref{eq5.4.1}) and (\ref{eq5.4})  and recalling the
definition of  $\mu$  and $I$ in Theorem \ref{thm4.3}
(with $\sigma_k^{(\varepsilon)}$ in place of $\hat{\sigma}_k$, etc.)
we write
$$
  \mu \leq N(K_1,d)\varepsilon,\quad I\leq N(K_1,d).
$$
Therefore, by the result of Theorem \ref{thm4.3},
\begin{equation}         \label{eq5.8}
|v_{\tau,h}(t,x)-v^{ \varepsilon }_{\tau,h}(t,x)| \leq
N(d,d_1,K_1)\varepsilon e^{c_0(T+\tau)}
\end{equation} for any
$(t,x)\in \bar{\mathcal{M}}_T$.
Similarly, by Theorem \ref{thm3.4} we have
\begin{equation}     \label{eq5.9}
|v(t,x)-v^{\varepsilon}(t,x)| \leq N(d,d_1,K_1)\varepsilon
e^{(M-\lambda)_+T}
\end{equation}
for any $(t,x)\in \bar{\mathcal{M}}_T$.
After combining (\ref{eq5.1.b})-(\ref{eq5.9}),
we reach
$$
|v(t,x)-v_{\tau,h}(t,x)| \leq N(d_1,d,K_1,T')(\varepsilon+
\varepsilon^{-3}\tau+\varepsilon^{-1}\tau+\varepsilon^{-1}h+\varepsilon^{-3}h^2)
$$
for any $(t,x)\in \mathcal{M}_T$. It only remains to put
$\varepsilon=(\tau+h^2)^{1/4}$,
   and then the first part
of Theorem \ref{thm1} is proved. To prove the second part, it
suffices to inspect the above argument and see that for $\lambda\geq
M(K_1,d,d_1)$  we can get rid of the exponential factors in
(\ref{eq5.7})-(\ref{eq5.9}) and also the factor $T'$ in
(\ref{eq5.7}). This proves the second part and the theorem.
\end{proof}

\begin{proof}[Proof of Theorem \ref{thm3}]
  We take the function $\zeta$ from the previous proof and additionally assume
that $\zeta$ is symmetric with respect to $x$, i.e.
$$
\zeta(t,x)=\zeta(t,-x),\quad \forall\, (t,x)\in \mathbb{R}^{d+1}.
$$
\end{proof}

\begin{lemma}  \label{lemma 12.4.1}
With the function $\zeta$ as above, for any bounded function $u$ on
$\mathbb{R}^{d+1}$ such that $|u|_{1,2}\leq K_0$, any integer $m\geq 0$ and
any $\varepsilon \in(0,1]$,
\begin{equation}    \label{eq5.11}
|u^{(\varepsilon)}|_{m,2m}\leq N(K_0,d)\varepsilon^{2-2m}.
\end{equation}
Moreover, on $\mathbb{R}^{d+1}$
\begin{equation}     \label{eq5.11.1}
|u^{(\varepsilon)}-u| \leq N(K_0,d)\varepsilon^2.
\end{equation}
\end{lemma}

\begin{proof}
Since $\zeta$ is symmetric with respect to $x$, for any nonnegative
integers $i,j$ satisfying $2i+j=2m$, we have
\begin{equation}   \label{eq5.12}
\begin{aligned}
D_t^iD_x^ju^{(\varepsilon)}
&=\varepsilon^{-(2i+j)}\int_{\mathbb{R}^{d+1}}u(t-\varepsilon^2s,x-\varepsilon
y)D_s^iD_y^j\zeta(s,y)\,ds\,dy
\\
&=\frac{1}{2}\varepsilon^{-(2i+j)}\int_{\mathbb{R}^{d+1}}
I_1D_s^iD_y^j\zeta(s,y)\,ds\,dy,
\end{aligned}
\end{equation}
where $ I_1=u(t-\varepsilon^2s,x-\varepsilon y)
  + u(t-\varepsilon^2s,x+\varepsilon y) -2u(t,x)$. Note
that by Taylor's formula
\begin{align*}
|I_1|&\leq |u(t-\varepsilon^2s,x-\varepsilon y)+u(t-\varepsilon^2s,x
+\varepsilon y) -2u(t-\varepsilon^2s,x)|
\\
&\quad +2|u(t-\varepsilon^2s,x)-u(t,x)|\leq K_0\varepsilon^2(|y|^2+2|s|).
\end{align*}
Coming back to (\ref{eq5.12}) yields (\ref{eq5.11}). To prove
(\ref{eq5.11.1}), we only need to notice that
$$
u^{(\varepsilon)}(t,x)-u(t,x)
=\frac{1}{2}\int_{\mathbb{R}^d}I_1\zeta(s,y)\,ds\,dy.
$$
\end{proof}

Due to the previous lemma and Lemma \ref{lemma3.0.3}, instead of
(\ref{12.5.1})-(\ref{12.5.2}), we have
\begin{equation}         \label{eq5.13}
|v^{\varepsilon}|_{\bar{H}_T,1,2}\leq N e^{(M-\lambda)_+T},
\quad |v^{\varepsilon}|_{\bar{H}_T,2,4}\leq
\varepsilon^{-2}N e^{(M-\lambda)_+T},
\end{equation}
where $N=N(K_2,d,d_1)$, $\varepsilon\in(0,1]$.
   Then as above
\begin{equation}    \label{eq5.1.c}
|v^{\varepsilon}_*(t,x)-v^{\varepsilon}(t,x)| \leq
N(K_2,d,d_1)e^{(M-\lambda)_+(T'-T)}\tau.
\end{equation}
for some $M$ depending only on $K_1$, $d$ and $d_1$. Also,
$$
|\big(\delta_{\tau}^{T'} +L^{ \varepsilon }_h\big) \big(
v_*^{\varepsilon}(t,x)-{\bar v}^{\varepsilon}_{\tau,h}(t,x)\big)|\leq
N(d_1,K_2)e^{(M-\lambda)_+{T'}}(\varepsilon^{-2}\tau+h+\varepsilon^{-2}h^2),
$$
for any $(t,x)\in \mathcal{M}_T$ and $\varepsilon\in(0,1]$. Hence,
\begin{equation}    \label{eq5.13.1}
\begin{aligned}
|v^{\varepsilon}_*(t,x)-v^{\varepsilon}_{\tau,h}(t,x)|
&=|v^{\varepsilon}_*(t,x)-{\bar v}^{\varepsilon}_{\tau,h}(t,x)|
\\
&\leq N(d_1,d,K_2)e^{(M-\lambda)_+T}T'
(\varepsilon^{-2}\tau+h+\varepsilon^{-2}h^2),
\end{aligned}
\end{equation}
\begin{gather}       \label{eq5.13.2}
|v_{\tau,h}(t,x)-v^{ \varepsilon }_{\tau,h}(t,x)| \leq
N(d,d_1,K_2)\varepsilon^2e^{c_0(T+\tau)},
\\          \label{eq5.17}
|v(t,x)-v^{\varepsilon}(t,x)| \leq N(d,d_1,K_2)\varepsilon^2
e^{(M-\lambda)_+T}.
\end{gather}
After combining (\ref{eq5.1.c})-(\ref{eq5.17}),   we
obtain
\begin{equation}     \label{eq5.18}
|v(t,x)-v_{\tau,h}(t,x)| \leq N(d_1,d,K_2,T')(\tau+\varepsilon^2+
\varepsilon^{-2}\tau+h+\varepsilon^{-2}h^2).
\end{equation}
for any $(t,x)\in \mathcal{M}_T$. Again we put
$\varepsilon=(\tau+h^2)^{1/4}$, and the first part of
Theorem \ref{thm3} is proved. As before, for $\lambda\geq
M(K_1,d,d_1)$, we can make $N$ in (\ref{eq5.18}) to be independent
of $T$.

\begin{proof}[Proof of Theorem \ref{thm7}]
  As we have  already pointed out,
under Assumption \ref{assumption 3.30.1}, Lemmas \ref{mono},
\ref{existence}, and \ref{comparison} still hold true with the
operator (\ref{3.30.3}) for $h\leq 2/K$. By Taylor's formula, for
any    three times continuously differentiable (in $x$) function
$u$,
$$
|\delta_{2h,\ell_{k}}u(x-h\ell_k)-D_{\ell_k}u(x)| \leq h^2\sup_{s\in
[-h,h]}|D^3_{\ell_k}u(x+s\ell_k)|/6.
$$
Therefore, this time
\begin{align*}
&|\big(\delta^{T'}_{\tau}+L_h\big)({\bar v}_{\tau,h}(t,x)-v_*(t,x)|\\
&=\big|\big(D_t+L\big)v_*(t,x)
-\big(\delta_{\tau}+L_h\big)v_*(t,x)\big| \\
&\leq N(d_1,d,K_4)(\tau\sup_{\bar{H}_{T'}}|D_t^2 v_* |
+h^2\sup_{\bar{H}_{T'}}|D_x^3
v_* ||+h^2\sup_{\bar{H}_{T'}}|D_x^4 v_* ||)\\ &\leq
N(d_1,d,K_4)e^{(M-\lambda)_+{T'}}(\tau+h^2),
\end{align*}
for any $(t,x)\in \mathcal{M}_T$. By using Lemma \ref{comparison}, we obtain
that on $\mathcal{M}_{T}$ (we always assume that  $h\leq 2/K$)
$$
|v_*-v_{\tau,h}|=|v_*-{\bar v}_{\tau,h}|\leq
N(d_1,d,K_4)e^{(M-\lambda)_+{T'}}T'(\tau+h^2),
$$
and as few times above
$$
|v-v_{\tau,h}|\leq |v-v_*|+|v_*-v_{\tau,h}|
\leq N(d_1,d,K_4)e^{(M-\lambda)_+T'}(T'+1)(\tau+h^2).
$$
For $\lambda\geq 1+M$, we use (\ref{eq2.2.2.20}) again and get on
$\mathcal{M}_T$
$$
|v-v_{\tau,h}|\leq N(d_1,d,K_4)(\tau+h^2).
$$ Theorem \ref{thm7} is proved.
\end{proof}

\begin{proof}[Proof of Theorem \ref{thm2}, \ref{thm4} and \ref{thm8}]
We take $g\equiv 0$   and denote the functions $v$ and $v_{\tau,h}$
from Theorem \ref{thm1}, (\ref{thm3}, and \ref{thm7}, respectively)
by $v^T$ and $v^T_{\tau,h}$. Obviously, it suffices to prove that
for all $(t, x)$
\begin{equation}  \label{eq5.3}
\tilde{v}(x)=\lim_{T\to \infty} v^T(t,x), \quad \tilde{v}_h(x) =
\lim_{T\to \infty}v^T_{\tau,h}(t,x),
\end{equation}
whenever $\lambda>0$ and $\tau$ is small enough.

The first relation in (\ref{eq5.3}) is well known (see, for
instance, \cite{Fr} or \cite{controlled}). To prove the second, it
suffices to prove that for any sequence $T_n\to \infty$ such that
$v^{T_n}_{\tau,h}(t, x)$ converges at all points of $\mathcal{M}_{\infty}$,
the limit is independent of $t$ and satisfies (\ref{elliptic}) on
the grid
$$
G =\{i_1h\ell_1 +\dots+i_{d_1}h\ell_{d_1} : i_k = 0,\pm 1,\dots,\,
k = 1,\dots,d_1\}.
$$
Given the former, the latter is obvious. Also notice that if
$\sigma_k$, $b_k$, $c$ and $f$ are independent of $t$, the
translation $t\to t+\tau$ brings any solution of (\ref{finite}) on
$\mathcal{M}_{\infty}$ again to a solution. Therefore, it only remains to
prove uniqueness of bounded solutions of (\ref{finite}) on
$\mathcal{M}_{\infty}$.

Observe that if $u_1$ and $u_2$ are two solutions of (\ref{finite})
on $\mathcal{M}_{\infty}$, then they also solve (\ref{finite}) on
$\mathcal{M}_T$
for any $T$ with terminal condition $u_1$ and $u_2$, respectively.
By the comparison result
$$
|u_1(t,x)-u_2(t,x)|\leq e^{-\lambda(T-t)/2}
\sup_{x}|u_1(T,x)-u_2(T,x)|,
$$
if $\tau$ is small enough. By sending $T \to \infty$ we prove the
uniqueness and the theorem.
\end{proof}

\section{Proof of Lemma \ref{lemma3.0.3}}      \label{section 11.21.6}

Obviously, the first part of Lemma \ref{lemma3.0.3} follows
immediately from the second part. Recall that $v$
is given in \eqref{sol} with $x_{s}=x_{s}(t,x)$ defined by
\eqref{eq 11.8.1}.
We fix $(t,x)\in H_{T}$, take a $\xi \in {\mathbb R}^{d}$ and set
$\xi^{(i)}_s=\xi^{(i)}_s(x,\xi),i=1,2,\dots ,2m$ to be the $i^{\rm th}$
order derivative of $x_s$ at point $(t,x)$ in the direction of
$\xi$, i.e.,
$$
\xi^{(1)}_s=(x_{s}(t,x))_{(\xi)},\quad
\xi^{(2)}_s=(x_{s}(t,x))_{(\xi)(\xi)},\quad \text{etc}.
$$
We know that for example $\xi^{(1)}_s $ and $\xi^{(2)}_s$ satisfy the
equations
$$
d\xi^{(1)}_s=\sigma_{(\xi^{(1)}_s)}(s,x_s)\,dw_s
+b_{(\xi^{(1)}_t)}(s,x_s)\,ds,
$$
\begin{align*}
d\xi^{(2)}_s=&\big[\sigma_{(\xi^{(2)}_s)}(s,x_s)+
\sigma_{(\xi^{(1)}_s)(\xi^{(1)}_s)}(s,x_s)\big]\,dw_s\\
&+\big[b_{(\xi^{(2)}_s)}(s,x_s)
+b_{(\xi^{(1)}_s)(\xi^{(1)}_s)}(s,x_s)\big]\,ds.
\end{align*}
In general $\xi^{(i)}_s$ satisfies
\begin{equation}    \label{eq6.2}
d\xi^{(i)}_s=\sigma_{(\xi^{(i)}_s)}(s,x_s)\,dw_s
+b_{(\xi^{(i)}_s)}(s,x_s)\,ds+S_1\,dw_s+S_2\,ds,
\end{equation}
where $S_1$ is the sum of the terms
$$
\sigma_{(\xi^{(k_1)}_s)(\xi^{(k_2)}_s)\dots (\xi^{(k_l)}_s)}(s,x_s),
\quad \text{for }  1 \leq k_j<i,\;\sum_{j=1}^l{k_j}=i.
$$
Similarly, $S_2$ is the sum of the terms
$$
b_{(\xi^{(k_1)}_s)(\xi^{(k_2)}_s)\dots (\xi^{(k_l)}_s)}(s,x_s),
\quad \text{for}\,\,  1 \leq
k_j<i,\,\,\sum_{j=1}^l{k_j}=i.
$$

\begin{definition} \rm
Given real numbers
$A_{i_1,i_2,\dots ,i_{2m}}$ defined for $i_{1},\dots ,i_{2m}
=1,\dots ,d$, we say that
$$
A=\{A_{i_1,i_2,\dots ,i_{2m}}\}_{i_1,\dots ,i_{2m}=1}^d
$$
is strictly positive definite if the following two conditions
  are satisfied

1) The value of $A_{i_1,i_2,\dots ,i_{2m}}$
does not change if we interchange any two
indices.

2) For any $x=(x^1,x^2,\dots ,x^d) \in {\mathbb R}^d \setminus\{0\}$,
$$A(x):=\sum_{i_1,i_2,\dots ,i_{2m}}
{A_{i_1,i_2,\dots ,i_{2m}}x^{i_1}x^{i_2}\dots x^{i_{2m}}}>0.
$$
\end{definition}

\begin{assumption}    \label{assumption6.2} \rm
We are given  constants $M \geq 0$ and $\delta>0$ and a strictly
positive definite $A$ such that for any $(t,x)\in H_T$ and
$\xi\in\mathbb{R}^{d}$,
\begin{equation}      \label{ineq6.0.2}
\begin{aligned}
m&(2m-1)\sum_{i_1,\dots ,i_{2m}}
    \sum_{|j|=1}^{d_1} {\sigma_{(\xi)}^{i_1,j}
(t,x)\sigma_{(\xi)}^{i_2,j}(t,x)
\xi^{i_3}\dots \xi^{i_{2m}}A_{i_1,\dots ,i_{2m}}}
\\
+&2m\sum_{i_1,\dots ,i_{2m}}{b_{(\xi)}^{i_1}(t,x)\xi^{i_2}
\xi^{i_3}\dots \xi^{i_{2m}}A_{i_1,\dots ,i_{2m}}} \leq (M-\delta)A(\xi).
\end{aligned}
\end{equation}
\end{assumption}

Denote $\sigma(t,x,y)=\sigma_{(y)}(t,x)$ and
$b(t,x,y)=b_{(y)}(t,x)$. The following lemma is proved in
\cite{Dong} and is a generalized version of  Lemma 7.2  in
\cite{adapting}.

\begin{lemma}     \label{lemma6.3}
Let $\alpha_s$ be a $d\times d_1$ matrix-valued and $\beta_s$ an
${\mathbb R}^d$-valued predictable processes satisfying natural
integrability conditions so that the equation
\begin{equation}    \label{dyt}
dy_s=[\sigma(s,x_s(t,x),y_s)+\alpha_s]\,dw_s
+[b(s,x_s(t,x),y_s)+\beta_s]\,ds,\quad s>t
\end{equation}
makes sense and let $y_s$ be its solution with a nonrandom initial
condition $y\in {\mathbb R}^d$. Then under
Assumption \ref{assumption6.2}, there exists a number
$p_0=p_0(m,\delta,\sigma)>1$ such that for any stopping time
$\tau\leq T$ and constant $\delta_1,\delta_2,p$,satisfying $0\leq
\delta_1<\delta_2\leq \delta/2$ and $p \in (0,p_0]$, we have
\begin{equation}   \label{eq6.2.2}
\begin{aligned}
E&\sup_{t\leq s\leq
\tau}\big[(e^{p(-M+\delta_1)(s-t)}|y_s|^{2mp}\big]\\
  \leq& N|y|^{2mp}
+NE\sup_{t\leq s\leq \tau}\big[e^{p(-M+\delta_2)(s-t)}
(\|\alpha_s\|^{2mp}+|\beta_s|^{2mp})\big],
\end{aligned}
\end{equation}
    where $N=N(m,d,p,K_1,A,\delta,\delta_1,\delta_2)$.
\end{lemma}

In what follows, we only use Lemma
\ref{lemma6.3} for $\tau=T$. Due to
the assumption, we have $K_1\leq N_0$. Next we estimate the moments
inductively. Since $\xi^{(1)}_t$ satisfies (\ref{dyt}) with
$\alpha=\beta=0$, by using Lemma \ref{lemma6.3} with $p=1$, we have
$$
E\sup_{t\leq s\leq T}[e^{(-M+\delta/4)(s-t)}
|\xi^{(1)}_s(x,\xi)|^{2m}]\leq N|\xi|^{2m}.
$$
We have the natural initial conditions $\xi^{(i)}_0=0,\,\,\forall
i\geq 2$. Since $M,A\geq 0$, condition (\ref{ineq6.0.2}) is satisfied
if we replace $M$ with $2M$. For $i=2$, because of (\ref{eq6.2}) and
(\ref{eq6.2.2}) with $p=1/2$, we have
\begin{align*}
&E\sup_{t\leq s\leq T}[e^{(-M+\delta/8)(s-t)}
|\xi^{(2)}_s(x,\xi)|^{m}]
\\
&=E\sup_{t\leq s\leq T}[e^{-(1/2)(2M+\delta/4)(s-t)}
|\xi^{(2)}_s(x,\xi)|^{m}]
\\
&\leq N(d,d_1,m,N_0,A,\delta)K_2^mE\sup_{t\leq s\leq
T}[e^{-(1/2)(2M+\delta/2)(s-t)}|\xi^{(1)}_s(x,\xi)|^{2m}]
\\
&\leq N(d,d_1,m,N_0,A,\delta)\varepsilon^{-m(2-l)_+}|\xi|^{2m}.
\end{align*}
For $i=3$, we note that in this case $\alpha_s$ is a linear
combination of
$$
\sigma_{(\xi_s^{(1)})(\xi_s^{(2)})},\quad
\sigma_{(\xi_s^{(1)})(\xi_s^{(1)})(\xi_s^{(1)})},
$$
and $\beta_s$ is a linear combination of
$$
b_{(\xi_s^{(1)})(\xi_s^{(2)})},\quad
b_{(\xi_s^{(1)})(\xi_s^{(1)})(\xi_s^{(1)})}.
$$
Therefore, upon using (\ref{eq6.2.2}) with $p=1/3$
we obtain
\begin{align*}
&E\sup_{t\leq s\leq T}[e^{(-M+\delta/16)(s-t)}
|\xi^{(3)}_s(x,\xi)|^{2m/3}]
\\
&\leq N(d,d_1,m,N_0,A,\delta)E\sup_{t\leq s\leq T}\big[e^{(-M+\delta
/8)(s-t)}(|\xi_s^{(1)}|^{2m}\varepsilon^{-2m(3-l)_+/3}
\\
&+|\xi_s^{(1)}|^{2m/3}|\xi_s^{(2)}|^{2m/3}\varepsilon^{-2m(2-l)_+/3})\big]
\\
&\leq N(d,d_1,m,N_0,A,\delta)E\sup_{t\leq s\leq T}\big[e^{(-M+\delta
/8)(s-t)}(|\xi_s^{(1)}|^{2m}\varepsilon^{-2m(3-l)_+/3}
\\
&+|\xi_s^{(2)}|^{m}\varepsilon^{m(2-l)_+-2m(3-l)_+/3})\big]\leq
N|\xi|^{2m}\varepsilon^{-2m(1-l/3)_+}.
\end{align*}
Using similar arguments, one gets the following estimate for
$\xi_s^{(i)}$.

\begin{lemma} \label{lemma6.4}
Under the assumption of Lemma \ref{lemma3.0.3} (ii), for any $\xi$
in ${\mathbb R}^d$, $(t,x)\in H_T$, we have
$$
E\sup_{t\leq s\leq \tau}e^{(-M+\delta/2^{1+i})(s-t)}
|\xi^{(i)}_s(t,x,\xi)|^{2m/i}\leq
N|\xi|^{2m}\varepsilon^{-2m(1-l/i)_+},
$$
for $i=1,2,\dots ,2m$, where $N=N(d,d_1,m,N_0,A,\delta)$.
Moreover, due to H\"older's inequality,
\begin{equation} \label{estim2}
E\sup_{t\leq s\leq \tau}e^{(-M+\delta/2^{1+i})(s-t)}
|\xi^{(i)}_s(t,x,\xi)|^{q/i}\leq N|\xi|^q\varepsilon^{-q(1-l/i)_+},
\end{equation}
for $i=1,2,\dots ,2m$, $  0\leq q\leq2m$, where
$N=N(d,d_1,m,N_0,A,\delta)$.
\end{lemma}

Now we are ready to prove Lemma \ref{lemma3.0.3} (ii). Firstly,
since $v$ satisfies (\ref{parabolic}), we only need to consider the
spatial derivatives. It is easy to see (cf. \cite{[introduction]})
that for $1\leq q \leq 2m$ and any unit $\xi\in \mathbb{R}^d$,
\begin{equation}   \label{eq6.1.0.1}
\big|v_{\underbrace{(\xi)\dots(\xi)}_q}(t,x)\big|
\leq N(d,d_1,m)\big(E\int_t^T(1+s^q)e^{-\varphi_s}I\,ds
+(1+T^q)Ee^{-\varphi_T}J\big),
\end{equation}
where
$$
\varphi_s=\int_t^sc(s,x_s )\,ds,
$$
$I$ is a linear combination of
$$
\sup_{H_T}|D_x^if|\sup_{H_T}|D_x^jc|
\prod_{r=1}^{i+j}|\xi^{(k_r)}_s(t,x,\xi)|,\quad \text{for }
  1\leq i+j\leq q,\; \sum_rk_r=q,
$$
and $J$ is a linear combination of
$$
\sup_{x}|D_x^ig|\sup_{H_T}|D_x^jc|
\prod_{r=1}^{i+j}|\xi^{(k_r)}_s(t,x,\xi)|,\quad \text{for }
  1\leq i+j\leq q,\,\sum_rk_r=q,
$$
By H\"older's inequality and (\ref{estim2}),
\begin{align*}
&Ee^{(-M+\delta/2^{1+q})(s-t)} \prod_r|\xi^{(k_r)}_s(t,x,\xi)|\\
&\leq \prod_r\big[Ee^{(-M+\delta/2^{1+q})(s-t)}
|\xi^{(k_r)}_s(t,x,\xi)|^{q/k_r}\big]^{k_r/q}\\
& \leq N\varepsilon^{-\sum_r(k_r-l)_+}.
\end{align*}
Also note that by assumption
$$
(\sup_{x}|D_x^ig|+\sup_{H_T}|D_x^if|)\sup_{H_T}|D_x^jc|\leq
N\varepsilon^{-(i-l)_+-(j-l)_+},
$$
and
$$
\sum_r(k_r-l)_++(i-l)_++(j-l)_+\leq (q-l)_+.
$$
Thus, the left-hand side of (\ref{eq6.1.0.1}) is less
than or equal to
\begin{align*}
&N(d,d_1,m,A,N_0)\varepsilon^{-(q-l)_+}\Big(\int_t^T(1+s^q)
e^{(M-\lambda-\delta/2^{1+q})(s-t)}\,dt
\\
&+(1+T^q)e^{(M-\lambda-\delta/2^{1+q})(T-t)}\Big) \\
&
\leq N(d,d_1,m,\delta,A,N_0)\varepsilon^{-(q-l)_+}e^{(M-\lambda)_+T}.
\end{align*}
This yields Lemma \ref{lemma3.0.3} (ii) if we make $M$ sufficiently
large so that condition (\ref{ineq6.0.2}) satisfies for $\delta=1$
and $A$ being the identity.

\section{Discussion  of semi-discrete schemes} \label{section 11.21.7}

The following result about semi-discretization allows one to use
approximations of the time derivative different from the one in
(\ref{finite}), in particular, explicit schemes could be used.
The semi-discrete approximations for \eqref{parabolic} are introduced
by means of the equation
\begin{equation}    \label{semieq}
\frac{\partial}{\partial t}u(t,x)+L_hu(t,x)+f(t,x)=0,\quad (t,x)\in
H_T,
\end{equation} with terminal condition (\ref{terminal}).

We claim that all the estimates in Theorem \ref{thm1},
\ref{thm3}, \ref{thm5}, and \ref{thm7} still hold if we drop the terms
with $\tau$ in the right-hand sides. We follow closely the arguments
in \cite{Lipschitz}.   The unique solvability of
(\ref{semieq})-(\ref{terminal}) in the space of bounded continuous
functions is shown by rewriting the problem as
$$
u(t,x) = g(x) + \int_t^T\big(L_hu(s,x)+f(s,x)\big)\,ds
$$
and using the method of successive approximations.

Next, as in \cite{Lipschitz} on the basis of the comparison results
and Theorem \ref{theorem4.1} one shows that
   for $(t,x),(s,y)\in\bar{H}_{T}$ we have
\begin{gather*}
|v_{\tau,h}(t,x)-v_{\tau,h}(t,y)|\leq N|x-y|,
\\
|v_{\tau,h}(t,x)-v_{\tau,h}(s,x)|\leq N(|t-s|^{1/2}+
\tau^{1/2})
\end{gather*}
with $N$ independent of $\tau,h,t,x,s,y$. It follows easily that
   one can find a sequence $\tau_{n }\downarrow 0$ such that
$v_{\tau_{n },h}(t,x)$ converges at each point of $\mathbb{R}^d$ uniformly
in $t\in [0,T]$. Call $u$ the limit of one of subsequences and
introduce
$$
\kappa_{n }(t) = i\tau_{n }\quad \text{for}\,\, i\tau_{n }\leq t< (i
+ 1)\tau_{n },\quad i = 0,1,\dots
$$
Then for any smooth $\psi(t)$ vanishing at $t = T$ and $t = 0$,
\begin{align*}
& \int^T_0 [ \psi(L_hv_{\tau_{n },h}+f)](\kappa_{n }(t),x)\,dt
\\
&=\int^T_0 v_{\tau_{n },h}(\kappa_{n }(t),x)\tau_{n }^{-1}
\big(\psi(\kappa_{n }(t),x)-\psi(\kappa_{n }(t)
-\tau_{n },x)\big)\,dt.
\end{align*}
Since the integrands converge uniformly on $[0,T]$ to their natural
limits, we conclude that $u$ satisfies (\ref{semieq}) in the weak
sense. On the other hand, $u$ is also a continuous function and
$u(T,x) = g(x)$. It follows that $u$ satisfies (\ref{semieq}). Now
our assertion follows directly from Theorem \ref{thm1},
\ref{thm3}, \ref{thm5}, and \ref{thm7}.

\section{Discussion of equations in cylinders} \label{section 11.21.1}


Some methods of this article can also be applied to equations in
cylinders like $Q = [0, T)\times D$, where $D$ is a domain in
$\mathbb{R}^d$. It is natural to consider (\ref{parabolic}) and
(\ref{finite}) in $Q$ with terminal condition $u(T,x) = g(x)$ in $D$
and require $v$ and $v_h$ be zero in $[0,T]\times (\mathbb{R}^d\setminus
D)$. We assume that $g = 0$ on $\partial D$ and that there is a
sufficiently smooth function $\psi$ on $\mathbb{R}^{d}$ such that $\psi> 0$
in $D$, $\psi= 0$ on $\partial D$, $1\leq |\psi_x|\leq K_0$ on
$\partial D$, and $L\psi<-1$ in $Q$. Then, for sufficiently small
$h$, by the smoothness of $\psi$, we also have $L_h\psi\leq -1/2$ in
$Q$. Due to Lemma \ref{comparison} and  Remark
\ref{remark2.6},
$$
|v(t,x)|\leq K_0\psi(t,x),\quad | v_{\tau,h}(t,x)|\leq
2K_0(\psi(t,x)+h),
$$
for any $(t,x)\in Q$.
These estimates give us necessary control of solutions near the
boundary  of $Q$. Now instead of Theorem
\ref{thm4.3} and \ref{thm3.4}, we have the following results, which
is deduced from Theorem \ref{theorem4.1} and \ref{lemma3.0.1}
respectively.

\begin{theorem}   \label{thm7.3}
Let $Q_1$ be a finite set in $\bar{\mathcal{M}}_T$, and suppose $a_k$,
$b_k$, $c$, $f$ satisfy the same assumption as in Theorem
\ref{thm4.3}. Let $u$ be a function on $\bar{\mathcal{M}}_T$ satisfying
     \eqref{finite}  in $Q_1\cap H_T$ and let $\hat{u}$ be a function on
$\bar{\mathcal{M}}_T$ satisfying  \eqref{finite}  in $Q_1\cap H_T$ with
$\hat{a}_k$, $\hat{b}_k$, $\hat{c}$, $\hat{f}$ in place of $a_k$,
$b_k$, $c$, $f$ respectively. Assume that $u$ and $\bar{u}$ are
bounded on $\bar{\mathcal{M}}_T$ and
$$
|u(T,\cdot)|,|\hat{u}(T,\cdot)|\leq K_1.
$$
Assume that   there is an $\varepsilon>0$  such that
$$
\sup_{\mathcal{M}_T,k}\big(|\sigma_k-\hat{\sigma}_k|
+|b_k-\hat{b}_k|+|c-\hat{c}|+|f-\hat{f}|\big)\leq K_1\varepsilon.
$$
Suppose that there exist constants $N_{0},c_{0}\geq0$, $\gamma>0$
such that \eqref{eq4.0.0.1}  holds. Then there exists a constant $N$
depending only on  $N_{0},K_{1},\gamma,d$, and $d_{1}$
such that in $Q_1$
$$
|u-\hat{u}|\leq N\varepsilon e^{c_0(T+\tau)}I,
$$
where
$$
I=1+\sup_{Q_{1}}(|u|+|\hat{u}|)+\sup_{\partial_0
Q_1}\big(\max_k|\delta_{h,l_k}u|+\max_k|\delta_{h,l_k}\hat{u}|
+\varepsilon^{-1}|u-\hat{u}|\big).
$$
\end{theorem}

\begin{theorem}  \label{thm7.4}
Let $Q_2$ be a bounded set in $\bar{H}_T$, and suppose $a_k$, $b_k$,
$c$, $f$ satisfy the same assumption as in Theorem \ref{thm3.4}. Let
$v$ be a function on $\bar{H}_T$ satisfying  \eqref{parabolic}  in
$Q_2\cap H_T$ and let $\hat{v}$ be a function on $\bar{H}_T$
satisfying  \eqref{parabolic}  in $Q_2\cap H_T$ with $\hat{a}_k$,
$\hat{b}_k$, $\hat{c}$, $\hat{f}$ in place of $a_k$, $b_k$, $c$, $f$
respectively. Assume that $v$ and $\bar{v}$ are bounded on
$\bar{H}_T$ and
$$
|v(T,\cdot)|,|\hat{v}(T,\cdot)|\leq K_1.
$$
Assume that there is an $\varepsilon>0$ such that
$$
\sup_{H_T,k}\big(|\sigma_k-\hat{\sigma}_k|
+|b_k-\hat{b}_k|+|c-\hat{c}|+|f-\hat{f}|\big)<K_1\varepsilon.
$$
Then there are constants $N$ and $M$ depending only on
    $K_1,d$, and $d_1$, such that on $\bar{H}_T$
$$
|v-\hat{v}|\leq N\varepsilon e^{(M-\lambda)_+T}I
$$   where
$$
I=1+\sup_{Q_{2}}(|v|+|\hat{v}|)+\sup_{\partial
Q_2}\big(\max_k|D_{l_k}v|+\max_k|D_{l_k}\hat{v}|
+\varepsilon^{-1}|v-\hat{v}|\big).
$$
\end{theorem}

However, in what concerns the rate of convergence, these results do
not allow us to carry over the methods of the present article to
equations in cylinders. The point is that, no matter how smooth the
coefficients and the domain are, the true solutions may be just
discontinuous. Interestingly enough, it seems that for bounded
domains one has to apply the theory of controlled diffusion
processes (= the theory of fully nonlinear PDEs) in order to deal
with the rate of convergence for {\em linear\/} equations. We plan
to show this in a subsequent article.


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\end{document}
