On the Convergence of Finite Element Methods for Hamilton-Jacobi-Bellman Equations

Details On the Convergence of Finite Element Methods for Hamilton-Jacobi-Bellman Equations On the Convergence of Finite Element Methods for Hamilton-Jacobi-Bellman Equations

2011-11-23

arxiv.org/abs/1111.5423v1

Mathematics

Numerical Analysis

Keywords: Bellman equations, finite element methods, viscosity solutions, fully nonlinear operators; 18 pages, 1 figure

Scientific paper

In this note we study the convergence of monotone P1 finite element methods on unstructured meshes for fully non-linear Hamilton-Jacobi-Bellman equations arising from stochastic optimal control problems with possibly degenerate, isotropic diffusions. Using elliptic projection operators we treat discretisations which violate the consistency conditions of the framework by Barles and Souganidis. We obtain strong uniform convergence of the numerical solutions and, under non-degeneracy assumptions, strong L2 convergence of the gradients.

Affiliated with

Also associated with

No associations

Rating

On the Convergence of Finite Element Methods for Hamilton-Jacobi-Bellman Equations does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On the Convergence of Finite Element Methods for Hamilton-Jacobi-Bellman Equations, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On the Convergence of Finite Element Methods for Hamilton-Jacobi-Bellman Equations will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-376900