Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems

DOI10.1137/S0036142903435235zbMath1124.65103MaRDI QIDQ5470985

Publication date: 2 June 2006

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

convergence viscosity solution free boundary problem finite difference schemes degenerate elliptic equations monotone schemes nonlinear schemes Hamilton-Jacobi equation, obstacle problem nonlinear Courant-Friedrichs-Lewy condition

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Ill-posed problems for PDEs (35R25) Maximum principles in context of PDEs (35B50) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Degenerate elliptic equations (35J70) 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) Free boundary problems for PDEs (35R35) Finite difference methods for boundary value problems involving PDEs (65N06) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (99)

Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty ⋮ Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space ⋮ Stochastic retarded inclusion with Carathéodory-upper separated multifunctions ⋮ A convergent finite difference method for optimal transport on the sphere ⋮ Discretization of the 3d monge−ampere operator, between wide stencils and power diagrams ⋮ Approximate homogenization of fully nonlinear elliptic PDEs: estimates and numerical results for Pucci type equations ⋮ Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions ⋮ Adaptive finite difference methods for nonlinear elliptic and parabolic partial differential equations with free boundaries ⋮ A Least-Squares Method for Optimal Transport Using the Monge--Ampère Equation ⋮ Discontinuous Galerkin methods for a class of nonvariational problems ⋮ Convergence of finite difference schemes to the Aleksandrov solution of the Monge-Ampère equation ⋮ A Monotone Discretization for Integral Fractional Laplacian on Bounded Lipschitz Domains: Pointwise Error Estimates under Hölder Regularity ⋮ A convergence framework for optimal transport on the sphere ⋮ Regular finite fuel stochastic control problems with exit time ⋮ A Fast-marching Algorithm for Nonmonotonically Evolving Fronts ⋮ Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities ⋮ Higher-order adaptive finite difference methods for fully nonlinear elliptic equations ⋮ Analysis and algorithms for \(\ell_p\)-based semi-supervised learning on graphs ⋮ Two-scale method for the Monge-Ampère equation: Convergence to the viscosity solution ⋮ Numerical solution of the optimal transportation problem using the Monge-Ampère equation ⋮ Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations ⋮ A low complexity algorithm for non-monotonically evolving fronts ⋮ The immersed interface method for Helmholtz equations with degenerate diffusion ⋮ High-order filtered schemes for time-dependent second order HJB equations ⋮ A linear finite-difference scheme for approximating randers distances on cartesian grids ⋮ Unnamed Item ⋮ Fast finite difference solvers for singular solutions of the elliptic Monge-Ampère equation ⋮ Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction ⋮ The flexible, extensible and efficient toolbox of level set methods ⋮ Limit equations of adaptive Erlangization and their application to environmental management ⋮ Finite volume element approximation for nonlinear diffusion problems with degenerate diffusion coefficients ⋮ Numerical analysis of strongly nonlinear PDEs ⋮ Convergent approximation of non-continuous surfaces of prescribed Gaussian curvature ⋮ The boundary method for semi-discrete optimal transport partitions and Wasserstein distance computation ⋮ Meshfree finite difference approximations for functions of the eigenvalues of the Hessian ⋮ Adaptive mesh methods on compact manifolds via optimal transport and optimal information transport ⋮ A Convergent Quadrature-Based Method for the Monge–Ampère Equation ⋮ Two numerical approaches to stationary mean-field games ⋮ The infinity Laplacian eigenvalue problem: reformulation and a numerical scheme ⋮ Projection method for infinite-horizon economic growth problems ⋮ A robust consumption model when the intensity of technological progress is ambiguous ⋮ Optimal trajectories of curvature constrained motion in the Hamilton-Jacobi formulation ⋮ Cascadic Newton’s method for the elliptic Monge–Ampère equation ⋮ Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization ⋮ Regime-switching constrained viscosity solutions approach for controlling dam-reservoir systems ⋮ Convergence of a semi-discretization scheme for the Hamilton-Jacobi equation: a new approach with the adjoint method ⋮ A semi-Lagrangian scheme for the game \(p\)-Laplacian via \(p\)-averaging ⋮ An error estimate for the finite difference scheme for one-phase obstacle problem ⋮ An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs ⋮ Mixed Finite Element Approximation of the Hamilton--Jacobi--Bellman Equation with Cordes Coefficients ⋮ Convergent Two-Scale Filtered Scheme for the Monge--Ampère Equation ⋮ Convergence Framework for the Second Boundary Value Problem for the Monge--Ampère Equation ⋮ A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL ⋮ On a discrete scheme for time fractional fully nonlinear evolution equations ⋮ Monotone and Second Order Consistent Scheme for the Two Dimensional Pucci Equation ⋮ Convergence analysis of the fast sweeping method for static convex Hamilton-Jacobi equations ⋮ Computing the level set convex hull ⋮ A study on moving mesh finite element solution of the porous medium equation ⋮ Uniform convergent tailored finite point method for advection-diffusion equation with discontinuous, anisotropic and vanishing diffusivity ⋮ Gradient WEB-spline finite element method for solving two-dimensional quasilinear elliptic problems ⋮ A partial differential equation for the rank one convex envelope ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Finite element methods for fully nonlinear second order PDEs based on a discrete Hessian with applications to the Monge-Ampère equation ⋮ Convergence of the finite difference scheme for a general class of the spatial segregation of reaction-diffusion systems ⋮ Two Numerical Methods for the elliptic Monge-Ampère equation ⋮ Statistical Functional Equations and p-Harmonious Functions ⋮ A stochastic approximation for fully nonlinear free boundary parabolic problems ⋮ Monotone and consistent discretization of the Monge-Ampère operator ⋮ A numerical approach for a general class of the spatial segregation of reaction-diffusion systems arising in population dynamics ⋮ A convergent monotone difference scheme for motion of level sets by mean curvature ⋮ An accelerated method for nonlinear elliptic PDE ⋮ On standard finite difference discretizations of the elliptic Monge-Ampère equation ⋮ A convergent difference scheme for the infinity Laplacian: construction of absolutely minimizing Lipschitz extensions ⋮ Finite difference methods for the infinity Laplace and \(p\)-Laplace equations ⋮ Explicit solutions of Jensen's auxiliary equations via extremal Lipschitz extensions ⋮ On a transport equation with nonlocal drift ⋮ Filtered schemes for Hamilton-Jacobi equations: a simple construction of convergent accurate difference schemes ⋮ HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation ⋮ Second order monotone finite differences discretization of linear anisotropic differential operators ⋮ Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation ⋮ Approximation of Hamilton-Jacobi equations with Caputo time-fractional derivative ⋮ Fast-marching methods for curvature penalized shortest paths ⋮ Weakly Chained Matrices, Policy Iteration, and Impulse Control ⋮ A partial differential equation obstacle problem for the level set approach to visibility ⋮ A numerical method for pricing European options with proportional transaction costs ⋮ Minimal Stencils for Discretizations of Anisotropic PDEs Preserving Causality or the Maximum Principle ⋮ Some non monotone schemes for Hamilton-Jacobi-Bellman equations ⋮ Prediction with expert advice: a PDE perspective ⋮ Convergence, stability analysis, and solvers for approximating sublinear positone and semipositone boundary value problems using finite difference methods ⋮ Convergent finite difference methods for fully nonlinear elliptic equations in three dimensions ⋮ A finite difference method for the variational \(p\)-Laplacian ⋮ Deep relaxation: partial differential equations for optimizing deep neural networks ⋮ A convergent finite difference method for computing minimal Lagrangian graphs ⋮ Semi-Lagrangian schemes for linear and fully non-linear diffusion equations ⋮ Improved Accuracy of Monotone Finite Difference Schemes on Point Clouds and Regular Grids ⋮ Minimal convex extensions and finite difference discretisation of the quadratic Monge–Kantorovich problem ⋮ Riemannian Fast-Marching on Cartesian Grids, Using Voronoi's First Reduction of Quadratic Forms ⋮ High Order Bellman Equations and Weakly Chained Diagonally Dominant Tensors ⋮ The convex envelope is the solution of a nonlinear obstacle problem

This page was built for publication: Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems