Probabilistic approximation of fully nonlinear second-order PIDEs with convergence rates for the universal robust limit theorem

Abstract

This paper develops a probabilistic approximation scheme for a class of nonstandard, fully nonlinear second-order partial integro-differential equations (PIDEs) associated with nonlinear Levy processes under Peng's G-expectation framework. The PIDE features a supremum over a family of alpha-stable Levy measures, possibly degenerate diffusion coefficients, and a non-separable uncertainty set, which places it outside the scope of existing numerical theories for PIDEs. We construct a recursive, piecewise-constant approximation of the viscosity solution and establish explicit error estimates for the scheme. As a key application, our results yield quantitative convergence rates for the universal robust limit theorem under sublinear expectations. This provides a unified treatment of Peng's robust central limit theorem and law of large numbers, as well as the alpha-stable limit theorem of Bayraktar and Munk, together with explicit Berry-Esseen-type bounds.