Imran Biswas

Error estimates for finite difference schemes for parabolic Integro-PDEs associated with controlled jump-diffusions

DIFTA 2006–05–04

Abstract: We derive error estimates for certain approximate solutions of Bellman equations associated to a class of controlled jump-diffusion (Lévy) processes over a finite time horizon. These Bellman equations are fully nonlinear degenerate parabolic integro-PDEs interpreted in the sense of viscosity solutions. The approximate solutions are generated by an implicit finite difference-quadrature scheme.