ERROR ESTIMATES FOR A CLASS OF FINITE DIFFERENCE-QUADRATURE SCHEMES FOR FULLY NONLINEAR DEGENERATE PARABOLIC INTEGRO-PDES (Q3520561)
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scientific article; zbMATH DE number 5316346
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| English | ERROR ESTIMATES FOR A CLASS OF FINITE DIFFERENCE-QUADRATURE SCHEMES FOR FULLY NONLINEAR DEGENERATE PARABOLIC INTEGRO-PDES |
scientific article; zbMATH DE number 5316346 |
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ERROR ESTIMATES FOR A CLASS OF FINITE DIFFERENCE-QUADRATURE SCHEMES FOR FULLY NONLINEAR DEGENERATE PARABOLIC INTEGRO-PDES (English)
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26 August 2008
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viscosity solution
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finite difference schemes
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error estimate
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stochastic optimal control
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Lévy process
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Bellman equation
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nonlinear degenerate parabolic integro-partial differential equations
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