dc.contributor.author Biswas, Imran H. dc.contributor.author Chowdhury, Indranil dc.contributor.author Jakobsen, Espen R. dc.date.accessioned 2019-09-05T11:20:47Z dc.date.available 2019-09-05T11:20:47Z dc.date.created 2019-09-04T14:39:55Z dc.date.issued 2019 dc.identifier.issn 0036-1429 dc.identifier.uri http://hdl.handle.net/11250/2612646 dc.description.abstract We study monotone numerical schemes for nonlocal Isaacs equations, the dynamic programming equations of stochastic differential games with jump-diffusion state processes. These equations are fully nonlinear nonconvex equations of order less than 2. In this paper they are also allowed to be degenerate and have nonsmooth solutions. The main contribution is a series of new a priori error estimates: the first results for nonlocal Isaacs equations, the first general results for degenerate nonconvex equations of order greater than 1, and the first results in the viscosity solution setting giving the precise dependence on the fractional order of the equation. We also observe a new phenomena, that is, the rates differ when the nonlocal diffusion coefficient depends on $x$ and $t$, only on $x$, or on neither. nb_NO dc.language.iso eng nb_NO dc.publisher Society for Industrial and Applied Mathematics nb_NO dc.title On the rate of convergence for monotone numerical schemes for nonlocal Isaacs equations nb_NO dc.type Journal article nb_NO dc.type Peer reviewed nb_NO dc.description.version publishedVersion nb_NO dc.source.volume 57 nb_NO dc.source.journal SIAM Journal on Numerical Analysis nb_NO dc.source.issue 2 nb_NO dc.identifier.doi 10.1137/17M114995X dc.identifier.cristin 1721552 dc.relation.project Norges forskningsråd: 250070 nb_NO dc.description.localcode © 2019, Society for Industrial and Applied Mathematics nb_NO cristin.unitcode 194,63,15,0 cristin.unitname Institutt for matematiske fag cristin.ispublished true cristin.fulltext preprint cristin.qualitycode 2
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