On the Rate of Convergence for Monotone Numerical Schemes for Nonlocal Isaacs Equations

DOI10.1137/17M114995XzbMath1411.45008arXiv1709.07743OpenAlexW2962708538WikidataQ128030739 ScholiaQ128030739MaRDI QIDQ4633793

Espen R. Jakobsen, Indranil Chowdhury, Imran H. Biswas

Publication date: 6 May 2019

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

Full work available at URL: https://arxiv.org/abs/1709.07743

zbMATH Keywords

rate of convergenceviscosity solutionerror estimatestochastic differential gamesmonotone schemeIsaacs equationsfractional and nonlocal equations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games (aspects of game theory) (91A23) Integro-partial differential equations (45K05) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Functional analysis in probabilistic metric linear spaces (46S50)

Related Items (6)

Finite element methods for isotropic Isaacs equations with viscosity and strong Dirichlet boundary conditions ⋮ Analytical and numerical solutions to ergodic control problems arising in environmental management ⋮ Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources ⋮ A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities ⋮ Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps ⋮ Finite element approximation of the Isaacs equation

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