Convergent finite difference methods for one-dimensional fully nonlinear second order partial differential equations

DOI10.1016/J.CAM.2013.02.001MaRDI QIDQ2016403zbMATH OpenOpenAlexFDO

Authors Xiaobing Feng, Chiu-Yen Kao, Thomas Lewis

Publication date 20 June 2014

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1212.0249

zbMATH Keywords

fully nonlinear PDEsviscosity solutionsfinite difference methodsmonotone schemesnumerical momentnumerical operators

Mathematics Subject Classification ID

Finite difference methods for boundary value problems involving PDEs (65N06) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12)

Abstract: This paper develops a new framework for designing and analyzing convergent finite difference methods for approximating both classical and viscosity solutions of second order fully nonlinear partial differential equations (PDEs) in 1-D. The goal of the paper is to extend the successful framework of monotone, consistent, and stable finite difference methods for first order fully nonlinear Hamilton-Jacobi equations to second order fully nonlinear PDEs such as Monge-Amp`ere and Bellman type equations. New concepts of consistency, generalized monotonicity, and stability are introduced; among them, the generalized monotonicity and consistency, which are easier to verify in practice, are natural extensions of the corresponding notions of finite difference methods for first order fully nonlinear Hamilton-Jacobi equations. The main component of the proposed framework is the concept of "numerical operator", and the main idea used to design consistent, monotone and stable finite difference methods is the concept of "numerical moment". These two new concepts play the same roles as the "numerical Hamiltonian" and the "numerical viscosity" play in the finite difference framework for first order fully nonlinear Hamilton-Jacobi equations. In the paper, two classes of consistent and monotone finite difference methods are proposed for second order fully nonlinear PDEs. The first class contains Lax-Friedrichs-like methods which also are proved to be stable and the second class contains Godunov-like methods. Numerical results are also presented to gauge the performance of the proposed finite difference methods and to validate the theoretical results of the paper.

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Cited in

(17)

• A narrow-stencil framework for convergent numerical approximations of fully nonlinear second order PDEs
• Nonstandard local discontinuous Galerkin methods for fully nonlinear second order elliptic and parabolic equations in high dimensions
• A spectral Rayleigh-Ritz scheme for nonlinear partial differential systems of first order
• Two-level spectral methods for nonlinear elliptic equations with multiple solutions
• Convergent semi-Lagrangian methods for the Monge-Ampère equation on unstructured grids
• Pointwise rates of convergence for the Oliker-Prussner method for the Monge-Ampère equation
• Discontinuous Galerkin finite element differential calculus and applications to numerical solutions of linear and nonlinear partial differential equations
• Mixed interior penalty discontinuous Galerkin methods for fully nonlinear second order elliptic and parabolic equations in high dimensions
• High-order filtered schemes for time-dependent second order HJB equations
• Local discontinuous Galerkin methods for one-dimensional second order fully nonlinear elliptic and parabolic equations
• Monotone and second order consistent scheme for the two dimensional Pucci equation
• Vanishing moment method and moment solutions for fully nonlinear second order partial differential equations
• A narrow-stencil finite difference method for approximating viscosity solutions of Hamilton-Jacobi-Bellman equations
• Finite element approximations of general fully nonlinear second order elliptic partial differential equations based on the vanishing moment method
• Dual-wind discontinuous Galerkin methods for stationary Hamilton-Jacobi equations and regularized Hamilton-Jacobi equations
• Analysis of a Narrow-Stencil Finite Difference Method for Approximating Viscosity Solutions of Fully Nonlinear Second Order Parabolic PDEs
• Numerical analysis of strongly nonlinear PDEs

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