scientific article; zbMATH DE number 5190454

MaRDI QIDQ3592246zbMATH OpenFDO

Authors Imran H. Biswas, Espen R. Jakobsen, Kenneth H. Karlsen

Publication date 12 September 2007

zbMATH Keywords

Bellman equationerror estimateimplicit finite difference-quadrature schemeintegro-partial differential equationLévy processstabilitystochastic optimal controlviscosity solution

Mathematics Subject Classification ID

Other nonlinear integral equations (45G10) Integro-partial differential equations (45K05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Numerical optimization and variational techniques (65K10) Numerical methods for integral equations (65R20)

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Cited in

(6)

• Difference-quadrature schemes for nonlinear degenerate parabolic integro-PDE
• Monotone two-scale methods for a class of integro-differential operators and applications
• Precise error bounds for numerical approximations of fractional HJB equations
• Threshold convergence to steady states for nonlocal reaction-diffusion equations with time delay in bounded domain
• On finite-difference approximations for normalized Bellman equations
• Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions

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