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We study monotone numerical schemes for nonlocal Isaacs equations, the dynamic programming equations of stochastic differential games with jump-diffusion state processes.
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Differential games and representation formulas solutions for Hamilton-Jacobi-Isaacs equations,
L. C. Evans and P. E. Souganidis · 1984
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P. E. Souganidis · 1985
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Discrete dynamic programming and viscosity solutions of the Bellman equation
I. Capuzzo-Dolcetta and M. Falcone · 1989
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On the existence of value functions of two player, zero-sum stochastic differential Games,
W. H. Fleming and P.E. Souganidis, · 1989
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Convergence of approximation schemes for fully nonlinear second order equations,
G. Barles and P. E. Souganidis, · 1991
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User’s guide to viscosity solutions of second order partial differential equations
M. G. Crandall, H. Ishii, and P. L. Lions · 1992
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Numerical methods for stochastic control problems in continuous time
H. J. Kushner and P. G. Dupuis · 1992
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On the rate of convergence of finite-difference approximations for Bellman’s equations,
N. V. Krylov · 1997
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On the rate of convergence of finite-difference approximations for Bellman’s equations with variable coefficients,
N. V. Krylov, · 2000
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On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman equations
G. Barles and E. R. Jakobsen · 2002
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Consistency of generalized finite difference schemes for the stochastic HJB equation
J. F. Bonnans and H. Zidani · 2003
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Financial Modelling with Jump Processes
R. Cont and P. Tankov · 2003
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On error bounds for approximation schemes for non-convex degenerate elliptic equations
E. R. Jakobsen · 2004
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Error bounds for monotone approximation schemes for Hamilton-Jacobi-Bellman equations
G. Barles and E. R. Jakobsen · 2005
Cited alongside, same era.
Continuous dependence estimates for viscosity solutions of integro-PDEs
E. R. Jakobsen and K. H. Karlsen · 2005
Error estimates for a class of finite difference-quadrature schemes for fully nonlinear degenerate parabolic integro-PDEs
I.H. Biswas, E.R. Jakobsen and K.H. Karlsen · 2008
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A rate of convergence for monotone finite difference approximations to fully nonlinear, uniformly elliptic PDEs
L. A. Caffarelli and P. E. Souganidis · 2008
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Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
E. R. Jakobsen, K. H. Karlsen, and C. La Chioma · 2008
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Difference-quadrature schemes for nonlinear degenerate parabolic integro-PDE
I.H. Biswas, E.R. Jakobsen and K.H. Karlsen · 2010
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Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
I. H. Biswas, E. R. Jakobsen, and K. H. Karlsen · 2010
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Cited alongside, same era.
The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients,
N. V. Krylov, · 2005
Cited alongside, same era.
Error estimates for stochastic differential game: the adverse stopping case Frédéric Bonnans,
F. Bonnans, S. Maroso and H. Zidani · 2006
Cited alongside, same era.
Asymptotic Analysis
E. R. Jakobsen. On error bounds for monotone approximation schemes for multi-dimensional Isaacs equations · 2006
Cited alongside, same era.
Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations,
G. Barles and E. R. Jakobsen, · 2007
Cited alongside, same era.
Second-Order Elliptic Integro-Differential Equations: Viscosity Solutions’ Theory Revisited
G. Barles and C. Imbert · 2008
Cited alongside, same era.
On zero-sum stochastic differential games with jump-diffusion driven state: a viscosity solution framework
I. H. Biswas · 2012
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On numerical methods and error estimates for degenerate fractional convection-diffusion equations
S. Cifani and E. R. Jakobsen · 2014
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On the rate of convergence of finite-difference approximations for elliptic Isaacs equations in smooth domains
N. V. Krylov · 2015
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Error estimates for approximations of nonhomogeneous nonlinear uniformly elliptic equations
O. Turanova · 2015
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Error estimates for approximations of nonlinear uniformly parabolic equations
O. Turanova · 2015
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