Error estimates for a class of finite difference-quadrature schemes for fully nonlinear degenerate parabolic integro-PDEs

被引：12
作者：
Biswas, Imran H. [1 ]
Jakobsen, Espen R. [2 ]
Karlsen, Kenneth H. [1 ]
机构：
[1] Univ Oslo, Ctr Math Applicat, NO-0316 Oslo, Norway
[2] Norwegian Univ Sci & Technol, N-7491 Trondheim, Norway
来源：
JOURNAL OF HYPERBOLIC DIFFERENTIAL EQUATIONS | 2008年 / 5卷 / 01期
关键词：
integro-partial differential equation; viscosity solution; finite difference scheme; error estimate; stochastic optimal control; Levy process; Bellman equation;
D O I：
10.1142/S0219891608001416
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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 (Levy) processes. The results cover both finite and infinite activity cases.
引用
收藏
页码：187 / 219
页数：33
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