Probabilistic approximation of fully nonlinear second-order PIDEs with convergence rates for the universal robust limit theorem

2025/06/23 by Jiang, Lianzi, Hu, Mingshang, Liang, Gechun
#45K05 #60F05 #60H30 #65M15 #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)

paper · doi:10.48550/arxiv.2506.18374

Abstract

This paper develops a probabilistic approximation scheme for a class of nonstandard, fully nonlinear second-order partial integro-differential equations (PIDEs) arising from nonlinear Lévy processes under Peng's G-expectation framework. The PIDE involves a supremum over a set of \(α\)-stable Lévy measures, potentially with degenerate diffusion and a non-separable uncertainty set, which renders existing numerical results inapplicable. We construct a recursive, piecewise-constant approximation to the viscosity solution and derive explicit error bounds. A key application of our analysis is the quantification of convergence rates for the universal robust limit theorem under sublinear expectations, unifying Peng's robust central limit theorem, laws of large numbers, and the \(α\)-stable limit theorem of Bayraktar and Munk, with explicit Berry--Esseen-type bounds.

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Related

• On the rate of convergence for an α-stable central limit theorem under sublinear expectation
• A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation
• Error estimates for the robust α-stable central limit theorem under sublinear expectation by discrete approximation method
• A robust α-stable central limit theorem under sublinear expectation without integrability condition
• A monotone scheme for G-equations with application to the explicit convergence rate of robust central limit theorem