Convergence of a non-monotone scheme for Hamilton-Jacobi-Bellman equations with discontinuous initial data (Q2270141)

This paper is concerned with the study of the convergence for a non-monotone scheme for Hamilton-Jacobi-Bellman equations of the form \(v_t+\max_\alpha[f(x,\alpha)v_x]=0\), \(v(0,x)=v_0(x)\), where the initial data \(v_0\) is discontinuous. The main results provide the convergence for the discrete problem, anti-dissipative properties of the numerical scheme and an \(L^1\)-error estimate. In some particular cases (such as eikonal equation) the results obtained by the authors stress the non-diffusive behavior of the numerical scheme. Various numerical tests are performed in the paper to illustrate the findings.