MONOTONE TWO-SCALE METHODS FOR A CLASS OF INTEGRODIFFERENTIAL OPERATORS AND APPLICATIONS

We develop a monotone, two-scale discretization for a class of integro-differential operators of order 2s, s ∈ (0, 1). We apply it to develop numerical schemes, and derive pointwise convergence rates for linear and obstacle problems governed by such operators. As applications of the monotonicity, we provide error estimates for free boundaries and a convergent numerical scheme for a concave fully nonlinear, nonlocal, problem.