Browsing Matematisk institutt by Author "Jakobsen, Espen R."
Now showing items 1-7 of 7
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Jakobsen, Espen R.; Karlsen, Kenneth H. (Research report / Forskningsrapport, 2004)We present a general framework for deriving continuous dependence estimates for, possibly polynomially growing, viscosity solutions of fully nonlinear degenerate parabolic integro-PDEs. We use this framework to provide ...
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Jakobsen, Espen R.; Karlsen, Kenneth H. (Research report / Forskningsrapport, 2004)We study a semi-discrete splitting method for computing approximate viscosity solutions of the initial value problem for a class of nonlinear degenerate parabolic equations with source terms. It is fairly standard to prove ...
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Jakobsen, Espen R.; Karlsen, Kenneth H.; La Chioma, Claudia (Research report / Forskningsrapport, 2005)We derive error estimates for approximate (viscosity) solutions of Bellman equations associated to controlled jump-diffusion processes, which are fully nonlinear integro-partial differential equations. Two main results are ...
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Biswas, Imran H.; Jakobsen, Espen R.; Karlsen, Kenneth H. (Research report / Forskningsrapport, 2006)We derive error estimates for certain approximate solutions of Bellman equations associated to a class of controlled jump-diffusion (Lévy) processes. These Bellman equations are fully nonlinear degenerate integro-PDEs ...
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Biswas, Imran H.; Jakobsen, Espen R.; Karlsen, Kenneth H. (Research report / Forskningsrapport, 2007)We derive error estimates for finite difference-quadrature schemes approximating viscosity solutions of nonlinear degenerate parabolic integro-PDEs with variable diffusion coefficients. The relevant equations can be viewed ...
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Jakobsen, Espen R.; Karlsen, Kenneth H. (Research report / Forskningsrapport, 2003)We formulate and prove a non-local ``maximum principle for semicontinuous functions'' in the setting of fully nonlinear degenerate elliptic integro-partial differential equations with integro operators of second order. ...
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Biswas, Imran H.; Jakobsen, Espen R.; Karlsen, Kenneth H. (Research report / Forskningsrapport, 2009)We develop a viscosity solution theory for a system of nonlinear degenerate parabolic integro-partial differential equations (IPDEs) related to stochastic optimal switching and control problems or stochastic games. In the ...