|Date: Wednesday, March 21, 2018
Location: B844 East Hall (4:00 PM to 5:00 PM)
Title: Convergence of approximation schemes for weakly nonlocal second order equations
Abstract: That a monotone, stable, and consistent scheme converges to the viscosity solution of a fully nonlinear second order local equation satisfying a comparison principle is a seminal result in the viscosity theory. We extend these ideas in a very general manner to weakly nonlocal equations and apply our results to obtain convergent schemes for finite and infinite-horizon equations arising from impulse control, including a new "stochastic semi-Lagrangian" scheme that is fully explicit, unconditionally stable, trivially monotone in higher dimensions, and embarrassingly parallel.
Joint work with Erhan Bayraktar and George Labahn.
Speaker: Parsiad Azimzadeh