Difference-Quadrature Schemes for Nonlinear Degenerate Parabolic Integro-PDE

DOI10.1137/090761501zbMath1218.65147arXiv0906.1458OpenAlexW2123275881MaRDI QIDQ5392403

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

Publication date: 11 April 2011

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.1458

zbMATH Keywords

numerical exampleBellman equationviscosity solutionstochastic optimal controlfinite difference schemeerror estimateLevy processintegro- partial differential equationmonotone difference-quadrature schemes

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Other nonlinear integral equations (45G10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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