Finite element approximation of the Isaacs equation
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Maximum principles in context of PDEs (35B50) Smoothness and regularity of solutions to PDEs (35B65) Viscosity solutions to PDEs (35D40) Nonlinear elliptic equations (35J60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Error bounds for boundary value problems involving PDEs (65N15) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical methods (including Monte Carlo methods) (91G60)
Abstract: We propose and analyze a two-scale finite element method for the Isaacs equation. The fine scale is given by the mesh size whereas the coarse scale is dictated by an integro-differential approximation of the partial differential equation. We show that the method satisfies the discrete maximum principle provided that the mesh is weakly acute. This, in conjunction with weak operator consistency of the finite element method, allows us to establish convergence of the numerical solution to the viscosity solution as , and . In addition, using a discrete Alexandrov Bakelman Pucci estimate we deduce rates of convergence, under suitable smoothness assumptions on the exact solution.
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Cited in
(13)- Discrete ABP estimate and convergence rates for linear elliptic equations in non-divergence form
- Finite element methods for isotropic Isaacs equations with viscosity and strong Dirichlet boundary conditions
- Convergence of adaptive discontinuous Galerkin and \(C^0\)-interior penalty finite element methods for Hamilton-Jacobi-Bellman and Isaacs equations
- Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics
- \(C^0\) finite element approximations of linear elliptic equations in non-divergence form and Hamilton-Jacobi-Bellman equations with Cordes coefficients
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- Unified analysis of discontinuous Galerkin and C^0-interior penalty finite element methods for Hamilton-Jacobi-Bellman and Isaacs equations
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- Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment
- Monotone two-scale methods for a class of integro-differential operators and applications
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