Error estimates for finite difference-quadrature schemes for a class of nonlocal Bellman equations with variable diffusion

نویسندگان

  • Imran H. Biswas
  • Espen R. Jakobsen
  • Kenneth H. Karlsen
  • KENNETH H. KARLSEN
چکیده

We derive error estimates for certain approximate solutions of Bellman equations associated to a class of controlled jump-diffusion (Lévy) processes. These Bellman equations are fully nonlinear degenerate integroPDEs interpreted in the sense of viscosity solutions. The approximate solutions are generated by an implicit finite difference-quadrature scheme.

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تاریخ انتشار 2006