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Register a new userA monotone scheme for G-equations with application to the explicit convergence rate of robust central limit theorem
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Added by
Gechun Liang
Publication date
2019
fields
Informatics Engineering
and research's language is
English
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We propose a monotone approximation scheme for a class of fully nonlinear PDEs called G-equations. Such equations arise often in the characterization of G-distributed random variables in a sublinear expectation space. The proposed scheme is constructed recursively based on a piecewise constant approximation of the viscosity solution to the G-equation. We establish the convergence of the scheme and determine the convergence rate with an explicit error bound, using the comparison principles for both the scheme and the equation together with a mollification procedure. The first application is obtaining the convergence rate of Pengs robust central limit theorem with an explicit bound of Berry-Esseen type. The second application is an approximation scheme with its convergence rate for the Black-Scholes-Barenblatt equation.
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