The finite element approximation of Hamilton--Jacobi--Bellman equations: The noncoercive case

DOI10.1016/J.AMC.2003.10.002MaRDI QIDQ702569zbMATH OpenOpenAlexFDO

Authors D. Kharzeev

Publication date 17 January 2005

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2003.10.002

zbMATH Keywords

convergenceerror estimatefinite elementHamilton-Jacobi-Bellman equationinverse monotonicity principlesquasi-variational inequalities

Mathematics Subject Classification ID

Variational inequalities (49J40) Newton-type methods (49M15) Numerical optimization and variational techniques (65K10)

Review text

Based on inverse monotonicity principles taken from literature the authors apply comparison solutions to generate \(L^\infty\) bounds for the solution. Further, convergence rate estimates for conforming linear finite elements are given.

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Cites work

• Maximum principle and uniform convergence for the finite element method
• Optimal Control of Stochastic Integrals and Hamilton–Jacobi–Bellman Equations. I
• Optimal Stochastic Switching and the Dirichlet Problem for the Bellman Equation
• Sur l'Analyse Numérique des Equations de Hamilton-Jacobi-Bellman
• The finite element approximation of Hamilton-Jacobi-Bellman equations

Cited in

(13)

• A new proof for the existence and uniqueness of the discrete evolutionary HJB equations
• The finite element approximation of evolutionary Hamilton-Jacobi-Bellman equations with nonlinear source terms
• \(L^\infty\)-error estimates of a finite element method for Hamilton-Jacobi-Bellman equations with nonlinear source terms with mixed boundary condition
• Adaptive \(C^0\) interior penalty methods for Hamilton-Jacobi-Bellman equations with cordes coefficients
• \(L^{\infty}\) error estimate for a class of semilinear elliptic systems of quasi-variational inequalities
• OptimalL^∞-Error Estimate of a Finite Element Method for Hamilton–Jacobi–Bellman Equations
• An algorithmic approach for noncoercive HJB equations
• L^2(H_^1) finite element convergence for degenerate isotropic Hamilton-Jacobi-Bellman equations
• Finite element methods for HJB equations
• On the Convergence of Finite Element Methods for Hamilton--Jacobi--Bellman Equations
• Mixed Finite Element Approximation of Periodic Hamilton--Jacobi--Bellman Problems With Application to Numerical Homogenization
• The finite element approximation of Hamilton-Jacobi-Bellman equations
• The theta time scheme combined with a finite-element spatial approximation in the evolutionary Hamilton-Jacobi-Bellman equation with linear source terms

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