A monotone scheme for nonlinear partial integro-differential equations with the convergence rate of α-stable limit theorem under sublinear expectation.

In this paper, we propose a monotone approximation scheme for a class of fully nonlinear partial integro-differential equations (PIDEs) which characterize the nonlinear $\alpha$-stable Levy processes under sublinear expectation space with $\alpha \in(1,2)$. Two main results are obtained: (i) the error bounds for the monotone approximation scheme of nonlinear PIDEs, and (ii) the convergence rates of a generalized central limit theorem of Bayraktar-Munk for $\alpha$-stable random variables under sublinear expectation. Our proofs use and extend techniques introduced by Krylov and Barles-Jakobsen.