A Narrow-stencil finite difference method for approximating viscosity solutions of fully nonlinear elliptic partial differential equations with applications to Hamilton-Jacobi-Bellman equations

arXiv1907.10204MaRDI QIDQ6322601FDOQ6322601

Publication date: 23 July 2019

Abstract: This paper presents a new narrow-stencil finite difference method for approximating the viscosity solution of second order fully nonlinear elliptic partial differential equations including Hamilton-Jacobi-Bellman equations. The proposed finite difference method naturally extends the Lax-Friedrichs method for first order problems to second order problems by introducing a key stabilization and guiding term called a "numerical moment". The numerical moment uses the difference of two (central) Hessian approximations to resolve the potential low-regularity of viscosity solutions. It is proved that the proposed scheme is well posed (i.e, it has a unique solution) and stable in both the l-2 norm and the l-infinity norm. The highlight of the paper is to prove the convergence of the proposed scheme to the viscosity solution of the underlying fully nonlinear second order problem using a novel discrete comparison argument. This paper extends the one-dimensional analogous method of Feng, Kao, and Lewis to the higher-dimensional setting. Numerical tests are presented to gauge the performance of the proposed finite difference methods and to validate the convergence result of the paper.

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)

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