| Abstract: |
| We discuss monotone approximation schemes of fractional and nonlocal Hamilton-Jacobi-Bellman (HJB) equations. It is well-known in analysis that convergence rates depend on the regularity of solutions, and here we consider cases with varying solution regularity: Strongly degenerate problems with Lipschitz solutions, and weakly non-degenerate problems where the solutions have bounded fractional derivatives. We study the error estimates with convergence rates that capture precisely both the fractional order of the schemes and the fractional regularity of the solutions. |
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