ERROR ESTIMATES FOR A CLASS OF FINITE DIFFERENCE-QUADRATURE SCHEMES FOR FULLY NONLINEAR DEGENERATE PARABOLIC INTEGRO-PDES-Reference-Cited by-同舟云学术

ERROR ESTIMATES FOR A CLASS OF FINITE DIFFERENCE-QUADRATURE SCHEMES FOR FULLY NONLINEAR DEGENERATE PARABOLIC INTEGRO-PDES

Published:2008-03 Issue:01 Volume:05 Page:187-219
ISSN:0219-8916
Container-title:Journal of Hyperbolic Differential Equations
language:en
Short-container-title:J. Hyper. Differential Equations

Author:

BISWAS IMRAN H.¹,JAKOBSEN ESPEN R.²,KARLSEN KENNETH H.¹

Affiliation:

1. Centre of Mathematics for Applications, University of Oslo, P.O. Box 1053, Blindern, NO–0316 Oslo, Norway

2. Norwegian University of Science and Technology, N-7491, Trondheim, Norway

Abstract

Error estimates are derived for a class of finite difference-quadrature schemes approximating viscosity solutions of nonlinear degenerate parabolic integro-PDEs with variable diffusion coefficients. The relevant equations can be viewed as Bellman equations associated to a class of controlled jump-diffusion (Lévy) processes. The results cover both finite and infinite activity cases.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Mathematics,Analysis

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219891608001416

Reference22 articles.

1. Viscosity solutions of nonlinear integro-differential equations

2. Backward stochastic differential equations and integral-partial differential equations

3. On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations

4. Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations

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