Precise error bounds for numerical approximations of fractional HJB equations
From MaRDI portal
Cites work
- \(C^{\sigma +\alpha}\) regularity for concave nonlocal fully nonlinear elliptic equations with rough kernels
- A ``maximum principle for semicontinuous functions applicable to integro-partial differential equations
- A convergent difference scheme for a class of partial integro-differential equations modeling pricing under uncertainty
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A finite element like scheme for integro-partial differential Hamilton-Jacobi-Bellman equations
- A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities
- A rate of convergence for monotone finite difference approximations to fully nonlinear, uniformly elliptic PDEs
- An approximation scheme for the optimal control of diffusion processes
- Applied stochastic control of jump diffusions
- Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
- Approximation schemes for viscosity solutions of Hamilton-Jacobi equations
- Approximations of small jumps of Lévy processes with a view towards simulation
- Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
- Continuous dependence estimates for viscosity solutions of integro-PDEs
- Controlled Markov processes and viscosity solutions
- Difference-quadrature schemes for nonlinear degenerate parabolic integro-PDE
- Discontinuous Galerkin finite element approximation of nondivergence form elliptic equations with Cordès coefficients
- Discrete dynamic programming and viscosity solutions of the Bellman equation
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations
- ERROR ESTIMATES FOR A CLASS OF FINITE DIFFERENCE-QUADRATURE SCHEMES FOR FULLY NONLINEAR DEGENERATE PARABOLIC INTEGRO-PDES
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
- Error estimates for approximations of nonlinear uniformly parabolic equations
- Error estimates for stochastic differential games: the adverse stopping case
- Estimates of heat kernels of non-symmetric Lévy processes
- Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing
- Financial Modelling with Jump Processes
- Global solution and smoothing effect for a non-local regularization of a hyperbolic equation.
- scientific article; zbMATH DE number 1577097 (Why is no real title available?)
- scientific article; zbMATH DE number 4205918 (Why is no real title available?)
- scientific article; zbMATH DE number 5142606 (Why is no real title available?)
- scientific article; zbMATH DE number 5730451 (Why is no real title available?)
- scientific article; zbMATH DE number 5190454 (Why is no real title available?)
- scientific article; zbMATH DE number 1166343 (Why is no real title available?)
- scientific article; zbMATH DE number 5207903 (Why is no real title available?)
- scientific article; zbMATH DE number 3250158 (Why is no real title available?)
- Lévy Processes and Stochastic Calculus
- Non-symmetric stable operators: regularity theory and integration by parts
- Nonlocal discrete diffusion equations and the fractional discrete Laplacian, regularity and applications
- Numerical approximation of fractional powers of elliptic operators
- Numerical methods for the fractional Laplacian: a finite difference-quadrature approach
- On error bounds for approximation schemes for non-convex degenerate elliptic equations
- On nonlocal quasilinear equations and their local limits
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
- On the rate of convergence for monotone numerical schemes for nonlocal Isaacs equations
- ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
- On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients
- On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
- On the rate of convergence of finite-difference approximations for elliptic Isaacs equations in smooth domains
- Regularity theory for fully nonlinear integro-differential equations
- Regularity theory for general stable operators
- Robust Numerical Methods for Nonlocal (and Local) Equations of Porous Medium Type. Part II: Schemes and Experiments
- Schauder estimates for nonlocal fully nonlinear equations
- Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
- Semi-Lagrangian approximation schemes for linear and Hamilton-Jacobi equations
- Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
- Solving high-dimensional partial differential equations using deep learning
- Spectral viscosity approximations to Hamilton--Jacobi solutions
- The Evans-Krylov theorem for nonlocal fully nonlinear equations
- The finite element approximation of Hamilton-Jacobi-Bellman equations
- The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients
- Two Approximations of Solutions of Hamilton-Jacobi Equations
Cited in
(2)
This page was built for publication: Precise error bounds for numerical approximations of fractional HJB equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6915909)
