Semi-Lagrangian schemes for linear and fully non-linear diffusion equations

DOI10.1090/S0025-5718-2012-02632-9zbMath1276.65050arXiv0910.1046MaRDI QIDQ2840616

Espen R. Jakobsen, Kristian Debrabant

Publication date: 23 July 2013

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.1046

zbMATH Keywords

stabilityoptimal controlconvergenceviscosity solutionnumerical exampleserror boundHamilton-Jacobi-Bellman equationsdegenerate parabolic equationsmonotone approximation schemesdifference-interpolation methods

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Hamilton-Jacobi equations (35F21)

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Uses Software

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