Finite element methods for isotropic Isaacs equations with viscosity and strong Dirichlet boundary conditions (Q2128614)

Isaacs equations arise from stochastic game theory and optimal control, in particular from stochastic two player zero-sum games. They are fully nonlinear in non-divergence form and the nonlinearity is in general non-convex. Their spatial differential operators may only be degenerately elliptic and often do not exhibit smoothness. Therefore, they are challenging from the numerical point of view. In this paper, a finite element method is presented to solve time-dependent Isaacs equations with isotropic, possibly degenerate diffusions. The finite element solutions convergence to the viscosity solution on Lipschitz domains. Dirichlet boundary conditions are treated in the viscosity and strong sense, so that the numerical analysis can follow the requirements arising from the construction of comparison principles. Barrier functions are used to ensure that upper and lower semi-continuous envelopes of the numerical solutions locally satisfy the boundary conditions in the strong sense. Numerical experiments are presented verifying the convergence of the scheme and showing an application to a two-player stochastic game.