A monotone scheme for G-equations with application to the explicit convergence rate of robust central limit theorem

The seminar is given by Dr. Gechun Liang (University of Warwick)

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 Peng's 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.

If you are interested to join this talk, please contact Dr Miryana Grigorova at m.r.grigorova@leeds.ac.uk for the Zoom details.