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Mathematics  2013 

Error estimates for approximations of nonlinear uniformly parabolic equations

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Abstract:

We introduce the notion of \delta-viscosity solutions for fully nonlinear uniformly parabolic PDE on bounded domains. We prove that \delta-viscosity solutions are uniformly close to the actual viscosity solution. As a consequence we obtain an error estimate for implicit monotone finite difference approximations of uniformly parabolic PDE.

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