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)

Related Items (14)

The method of lines for parabolic integro-differential equations ⋮ Mixed local and nonlocal elliptic operators: regularity and maximum principles ⋮ Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options ⋮ Robust Numerical Methods for Nonlocal (and Local) Equations of Porous Medium Type. Part II: Schemes and Experiments ⋮ Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem ⋮ On the Rate of Convergence for Monotone Numerical Schemes for Nonlocal Isaacs Equations ⋮ Semilinear elliptic equations involving mixed local and nonlocal operators ⋮ Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes ⋮ A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities ⋮ On numerical methods and error estimates for degenerate fractional convection-diffusion equations ⋮ Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps ⋮ Two-grid economical algorithms for parabolic integro-differential equations with nonlinear memory ⋮ Robust Numerical Methods for Nonlocal (and Local) Equations of Porous Medium Type. Part I: Theory ⋮ Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets

This page was built for publication: Difference-Quadrature Schemes for Nonlinear Degenerate Parabolic Integro-PDE