A recursive piecewise-constant probabilistic scheme approximates viscosity solutions of nonstandard fully nonlinear PIDEs with explicit error estimates and yields Berry-Esseen-type convergence rates for the universal robust limit theorem under sublinear expectations.
Kuhn, Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear L´ evy(- type) processes, ALEA, 16 (2019), pp
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Probabilistic approximation of fully nonlinear second-order PIDEs with convergence rates for the universal robust limit theorem
A recursive piecewise-constant probabilistic scheme approximates viscosity solutions of nonstandard fully nonlinear PIDEs with explicit error estimates and yields Berry-Esseen-type convergence rates for the universal robust limit theorem under sublinear expectations.