Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
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Publication:5470985
DOI10.1137/S0036142903435235zbMATH Open1124.65103MaRDI QIDQ5470985FDOQ5470985
Authors: Adam Oberman 
Publication date: 2 June 2006
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Recommendations
convergencefree boundary problemviscosity solutionfinite difference schemesdegenerate elliptic equationsmonotone schemesnonlinear schemesHamilton-Jacobi equation, obstacle problemnonlinear Courant-Friedrichs-Lewy condition
Maximum principles in context of PDEs (35B50) Degenerate elliptic equations (35J70) Degenerate parabolic equations (35K65) Ill-posed problems for PDEs (35R25) Free boundary problems for PDEs (35R35) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite difference methods for boundary value problems involving PDEs (65N06) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12)
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- Semi-Lagrangian schemes for parabolic equations
- On a discrete scheme for time fractional fully nonlinear evolution equations
- The boundary method for semi-discrete optimal transport partitions and Wasserstein distance computation
- A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
- Minimal stencils for discretizations of anisotropic PDEs preserving causality or the maximum principle
- Higher-order adaptive finite difference methods for fully nonlinear elliptic equations
- Monotone and consistent discretization of the Monge-Ampère operator
- Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations
- Study of convergence of difference schemes for quasilinear elliptic equations with degeneracy
- Convergence framework for the second boundary value problem for the Monge-Ampère equation
- Gradient WEB-spline finite element method for solving two-dimensional quasilinear elliptic problems
- Two numerical approaches to stationary mean-field games
- Projection method for infinite-horizon economic growth problems
- Weakly chained matrices, policy iteration, and impulse control
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
- Discretization of the 3D Monge-Ampere operator, between wide stencils and power diagrams
- A Convergent Quadrature-Based Method for the Monge–Ampère Equation
- Some non monotone schemes for Hamilton-Jacobi-Bellman equations
- Finite volume element approximation for nonlinear diffusion problems with degenerate diffusion coefficients
- Approximate homogenization of fully nonlinear elliptic PDEs: estimates and numerical results for Pucci type equations
- A partial differential equation obstacle problem for the level set approach to visibility
- Two-scale method for the Monge-Ampère equation: convergence to the viscosity solution
- Deep relaxation: partial differential equations for optimizing deep neural networks
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
- High-order filtered schemes for time-dependent second order HJB equations
- Monotone schemes for a class of nonlinear elliptic and parabolic problems
- The flexible, extensible and efficient toolbox of level set methods
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- Numerical solution of the optimal transportation problem using the Monge-Ampère equation
- Improved accuracy of monotone finite difference schemes on point clouds and regular grids
- Finite element methods for fully nonlinear second order PDEs based on a discrete Hessian with applications to the Monge-Ampère equation
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- On standard finite difference discretizations of the elliptic Monge-Ampère equation
- Convergence of finite difference schemes to the Aleksandrov solution of the Monge-Ampère equation
- Numerical schemes for multi phase quadrature domains
- On a transport equation with nonlocal drift
- Convergent approximation of non-continuous surfaces of prescribed Gaussian curvature
- Adaptive finite difference methods for nonlinear elliptic and parabolic partial differential equations with free boundaries
- Discontinuous Galerkin methods for a class of nonvariational problems
- Convergent finite difference methods for fully nonlinear elliptic equations in three dimensions
- Optimal trajectories of curvature constrained motion in the Hamilton-Jacobi formulation
- A numerical method for pricing European options with proportional transaction costs
- Convergence analysis of the fast sweeping method for static convex Hamilton-Jacobi equations
- Two numerical methods for the elliptic Monge-Ampère equation
- The immersed interface method for Helmholtz equations with degenerate diffusion
- Filtered schemes for Hamilton-Jacobi equations: a simple construction of convergent accurate difference schemes
- Numerical analysis of strongly nonlinear PDEs
- Discrete Methods for Fully Nonlinear Elliptic Equations
- A stochastic approximation for fully nonlinear free boundary parabolic problems
- Fast finite difference solvers for singular solutions of the elliptic Monge-Ampère equation
- Uniform convergent tailored finite point method for advection-diffusion equation with discontinuous, anisotropic and vanishing diffusivity
- The convex envelope is the solution of a nonlinear obstacle problem
- Statistical functional equations and \(p\)-harmonious functions
- Convergence of a semi-discretization scheme for the Hamilton-Jacobi equation: a new approach with the adjoint method
- A study on moving mesh finite element solution of the porous medium equation
- A partial differential equation for the rank one convex envelope
- Riemannian fast-marching on cartesian grids, using Voronoi's first reduction of quadratic forms
- A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
- Second order monotone finite differences discretization of linear anisotropic differential operators
- Numerical optimal transport from 1D to 2D using a non-local Monge-Ampère equation
- Convergence of the finite difference scheme for a general class of the spatial segregation of reaction-diffusion systems
- A numerical approach for a general class of the spatial segregation of reaction-diffusion systems arising in population dynamics
- Cascadic Newton’s method for the elliptic Monge–Ampère equation
- Convergent Two-Scale Filtered Scheme for the Monge--Ampère Equation
- Domain decomposition methods for the Monge-Ampère equation
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- Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions
- Limit equations of adaptive Erlangization and their application to environmental management
- High order Bellman equations and weakly chained diagonally dominant tensors
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- A convergence framework for optimal transport on the sphere
- The infinity Laplacian eigenvalue problem: reformulation and a numerical scheme
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- Boundary mesh refinement for semi-Lagrangian schemes
- A Volumetric approach to Monge's optimal transport on surfaces
- Convergent approaches for the Dirichlet Monge-Ampère problem
- Recent developments in machine learning methods for stochastic control and games
- Ratio convergence rates for Euclidean first-passage percolation: applications to the graph infinity Laplacian
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- Convergence, stability analysis, and solvers for approximating sublinear positone and semipositone boundary value problems using finite difference methods
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- A low complexity algorithm for non-monotonically evolving fronts
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