On the Rate of Convergence of Numerical Schemes for Nonlocal Bellman–Isaacs Equations

par Indranil Chowdhury

mercredi 10 juin 2026, 11:00 → 11:30 Europe/Paris

XR203 (XLIM)

We discuss convergence rates for monotone approximation schemes for fractional and nonlocal Hamilton–Jacobi–Bellman and Isaacs equations, which arise, for example, in control and game theory as dynamic programming equations. These equations are fully nonlinear and of order less than 2. They may also be degenerate, and their solutions are generally non-smooth and therefore interpreted in the viscosity sense. We study diffusion-corrected difference–quadrature-type monotone numerical schemes and analyze their convergence rates. The rates obtained depend on the regularity of the solutions and their analysis varies significantly across different settings.