Chowdhury, Indranil; Jakobsen, Espen R. Precise Error Bounds for Numerical Approximations of Fractional HJB Equations. arXiv:2308.16434 Preprint, arXiv:2308.16434 [math.AP] (2023). MSC: 49L25 65M15 34K37 45K05 65N12 35R11 35J60 49L12 BibTeX Cite \textit{I. Chowdhury} and \textit{E. R. Jakobsen}, ``Precise Error Bounds for Numerical Approximations of Fractional HJB Equations'', Preprint, arXiv:2308.16434 [math.AP] (2023) Full Text: arXiv OA License
Jakobsen, Espen R.; Picarelli, Athena; Reisinger, Christoph Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems. (English) Zbl 1422.93186 Electron. Commun. Probab. 24, Paper No. 59, 10 p. (2019). MSC: 93E20 49L20 65M15 65M06 PDFBibTeX XMLCite \textit{E. R. Jakobsen} et al., Electron. Commun. Probab. 24, Paper No. 59, 10 p. (2019; Zbl 1422.93186) Full Text: DOI arXiv Euclid
Biswas, Imran H.; Chowdhury, Indranil; Jakobsen, Espen R. On the rate of convergence for monotone numerical schemes for nonlocal Isaacs equations. (English) Zbl 1411.45008 SIAM J. Numer. Anal. 57, No. 2, 799-827 (2019). MSC: 45K05 46S50 49L20 49L25 91A23 93E20 PDFBibTeX XMLCite \textit{I. H. Biswas} et al., SIAM J. Numer. Anal. 57, No. 2, 799--827 (2019; Zbl 1411.45008) Full Text: DOI arXiv
Debrabant, Kristian; Jakobsen, Espen R. Semi-Lagrangian schemes for linear and fully non-linear diffusion equations. (English) Zbl 1276.65050 Math. Comput. 82, No. 283, 1433-1462 (2013). Reviewer: K. N. Shukla (Gurgaon) MSC: 65M06 65M12 65M15 35F21 35K65 49L25 PDFBibTeX XMLCite \textit{K. Debrabant} and \textit{E. R. Jakobsen}, Math. Comput. 82, No. 283, 1433--1462 (2013; Zbl 1276.65050) Full Text: DOI arXiv
Biswas, Imran H.; Jakobsen, Espen R.; Karlsen, Kenneth H. Difference-quadrature schemes for nonlinear degenerate parabolic integro-PDE. (English) Zbl 1218.65147 SIAM J. Numer. Anal. 48, No. 3, 1110-1135 (2010). Reviewer: Temur Jangveladze (Tbilisi) MSC: 65R20 45K05 49L25 45G10 PDFBibTeX XMLCite \textit{I. H. Biswas} et al., SIAM J. Numer. Anal. 48, No. 3, 1110--1135 (2010; Zbl 1218.65147) Full Text: DOI arXiv
Camilli, Fabio; Jakobsen, Espen R. A finite element like scheme for integro-partial differential Hamilton-Jacobi-Bellman equations. (English) Zbl 1202.65080 SIAM J. Numer. Anal. 47, No. 4, 2407-2431 (2009). Reviewer: Werner H. Schmidt (Greifswald) MSC: 65K10 45K05 49L25 65M60 35F21 49J21 49L20 49J55 91G60 49M25 PDFBibTeX XMLCite \textit{F. Camilli} and \textit{E. R. Jakobsen}, SIAM J. Numer. Anal. 47, No. 4, 2407--2431 (2009; Zbl 1202.65080) Full Text: DOI arXiv
Jakobsen, Espen R.; Karlsen, Kenneth H.; La Chioma, Claudia Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions. (English) Zbl 1153.65125 Numer. Math. 110, No. 2, 221-255 (2008). Reviewer: Seenith Sivasundaram (Daytona Beach) MSC: 65R20 45K05 49L25 PDFBibTeX XMLCite \textit{E. R. Jakobsen} et al., Numer. Math. 110, No. 2, 221--255 (2008; Zbl 1153.65125) Full Text: DOI Link
Biswas, Imran H.; Jakobsen, Espen R.; Karlsen, Kenneth H. Error estimates for a class of finite difference-quadrature schemes for fully nonlinear degenerate parabolic integro-PDEs. (English) Zbl 1170.65102 J. Hyperbolic Differ. Equ. 5, No. 1, 187-219 (2008). Reviewer: Josef Kofroň (Praha) MSC: 65R20 45K05 49L25 PDFBibTeX XMLCite \textit{I. H. Biswas} et al., J. Hyperbolic Differ. Equ. 5, No. 1, 187--219 (2008; Zbl 1170.65102) Full Text: DOI
Barles, Guy; Jakobsen, Espen R. Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations. (English) Zbl 1123.65096 Math. Comput. 76, No. 260, 1861-1893 (2007). Reviewer: Marius Ghergu (Dublin) MSC: 65M15 65M06 49L25 35K60 PDFBibTeX XMLCite \textit{G. Barles} and \textit{E. R. Jakobsen}, Math. Comput. 76, No. 260, 1861--1893 (2007; Zbl 1123.65096) Full Text: DOI arXiv
Biswas, Imran H.; Jakobsen, Espen R.; Karlsen, Kenneth H. Error estimates for finite difference-quadrature schemes for a class of nonlocal Bellman equations with variable diffusion. (English) Zbl 1125.65362 Chen, Gui-Qiang (ed.) et al., Stochastic analysis and partial differential equations. Emphasis year 2004–2005 on stochastic analysis and partial differential equations, Evanston, IL, USA. Providence, RI: American Mathematical Society (AMS) (ISBN 978-0-8218-4059-7/pbk). Contemporary Mathematics 429, 19-31 (2007). MSC: 65R20 45G10 45K05 49J22 49L25 65K10 PDFBibTeX XMLCite \textit{I. H. Biswas} et al., Contemp. Math. 429, 19--31 (2007; Zbl 1125.65362)
Jakobsen, Espen R. On error bounds for monotone approximation schemes for multi-dimensional Isaacs equations. (English) Zbl 1110.49026 Asymptotic Anal. 49, No. 3-4, 249-273 (2006). MSC: 49L25 65M15 49L20 PDFBibTeX XMLCite \textit{E. R. Jakobsen}, Asymptotic Anal. 49, No. 3--4, 249--273 (2006; Zbl 1110.49026) Full Text: arXiv
Barles, Guy; Jakobsen, Espen R. Error bounds for monotone approximation schemes for Hamilton-Jacobi-Bellman equations. (English) Zbl 1092.65077 SIAM J. Numer. Anal. 43, No. 2, 540-558 (2005). Reviewer: Dietrich Braess (Bochum) MSC: 65M15 35L70 49L25 65M06 PDFBibTeX XMLCite \textit{G. Barles} and \textit{E. R. Jakobsen}, SIAM J. Numer. Anal. 43, No. 2, 540--558 (2005; Zbl 1092.65077) Full Text: DOI
Jakobsen, E. R. On error bounds for approximation schemes for non-convex degenerate elliptic equations. (English) Zbl 1067.65116 BIT 44, No. 2, 269-285 (2004). MSC: 65N15 35J70 65N06 35J65 49L25 65N12 PDFBibTeX XMLCite \textit{E. R. Jakobsen}, BIT 44, No. 2, 269--285 (2004; Zbl 1067.65116) Full Text: DOI