Convergence of a first order scheme for a nonlocal eikonal equation (Q2497773)

The authors study the convergence of a first order finite difference scheme for a nonlocal eikonal Hamilton-Jacobi equation. The scheme uses a monotone numerical Hamiltonian for the norm of the spatial gradient, the forward Euler scheme for the time derivative and a proper abstract discrete approximation of the nonlocal operator. The nonlocal property of the problem makes the scheme not monotone in general. However, by using in a convenient manner the convergence result for Crandall and Lions' monotone scheme, the authors obtain the same bound \(\sqrt{\Delta x +\Delta t}\) for the rate of convergence provided the time interval of the considered problem is small enough.