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

Imran H. Biswas, Espen R. Jakobsen, Kenneth H. Karlsen

Type: Article

Publication Date: 2008-03-01

Citations: 16

DOI: https://doi.org/10.1142/s0219891608001416

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.

Locations

Journal of Hyperbolic Differential Equations - View
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+	Convergence of approximation schemes for fully nonlinear second order equations	1991	Guy Barles Panagiotis E. Souganidis
+	Controlled markov processes and viscosity solutions	1994	M. R. James