A FINITE ELEMENT LIKE SCHEME FOR INTEGRO-PARTIAL DIFFERENTIAL HAMILTON-JACOBI-BELLMAN EQUATIONS

作者：Camilli Fabio^*; Jakobsen Espen R

来源：SIAM Journal on Numerical Analysis, 2009, 47(4): 2407-2431.

DOI：10.1137/080723144

• integro-partial differential equation
• viscosity solution
• numerical scheme
• Levy process
• error estimate

We construct a finite element like scheme for fully nonlinear integro-partial differential equations arising in optimal control of jump-processes. Special cases of these equations include optimal portfolio and option pricing equations in finance. The schemes are monotone and robust. We prove that they converge in very general situations, including degenerate equations, multiple dimensions, relatively low regularity of the data, and for most (if not all) types of jump-models used in finance. In all cases we provide (probably optimal) error bounds. These bounds apply when grids are unstructured and integral terms are very singular, two features that are new or highly unusual in this setting.

• 出版日期2009