Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions (Q943366): Difference between revisions

The authors first introduce some notations and list various conditions regarding the coefficients of the discussed equation and recall the definition of viscosity solutions and some results for integro-partial differential equations. Then they provide precise error estimates on the approximate scheme along with the statement and proof of the main theorem. Later they present a finite difference scheme and verify the conditions needed to apply the error estimates. A bound on the induced error when a general Lévy measure is replaced by a finite measure with compact support is derived. Finally the authors prove some technical results used in their discussion.