Finite Element Methods with Artificial Diffusion for Hamilton-Jacobi-Bellman Equations

Details Finite Element Methods with Artificial Diffusion for Hamilton-Jacobi-Bellman Equations Finite Element Methods with Artificial Diffusion for Hamilton-Jacobi-Bellman Equations

2012-01-17

arxiv.org/abs/1201.3581v2

Mathematics

Numerical Analysis

Enumath 2011, version 2 contains in addition convergence rates

Scientific paper

In this short note we investigate the numerical performance of the method of artificial diffusion for second-order fully nonlinear Hamilton-Jacobi-Bellman equations. The method was proposed in (M. Jensen and I. Smears, arxiv:1111.5423); where a framework of finite element methods for Hamilton-Jacobi-Bellman equations was studied theoretically. The numerical examples in this note study how the artificial diffusion is activated in regions of degeneracy, the effect of a locally selected diffusion parameter on the observed numerical dissipation and the solution of second-order fully nonlinear equations on irregular geometries.

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