Related papers: On the Convergence of Finite Element Methods for H…
In this paper we study the convergence of monotone $P1$ finite element methods for fully nonlinear Hamilton-Jacobi-Bellman equations with degenerate, isotropic diffusions. The main result is strong convergence of the numerical solutions in…
We show strong uniform convergence of monotone P1 finite element methods to the viscosity solution of isotropic parabolic Hamilton-Jacobi-Bellman equations with mixed boundary conditions on unstructured meshes and for possibly degenerate…
We study monotone P1 finite element methods on unstructured meshes for fully non-linear, degenerately parabolic Isaacs equations with isotropic diffusions arising from stochastic game theory and optimal control and show uniform convergence…
We propose one finite element method for both second order linear uniformly elliptic PDE in non-divergence form and the uniformly elliptic Hamilton-Jacobi-Bellman (HJB) equation. For both linear elliptic PDE in non-divergence form and the…
A finite element method for elliptic problems with discontinuous coefficients is presented. The discontinuity is assumed to take place along a closed smooth curve. The proposed method allows to deal with meshes that are not adapted to the…
We establish a well-posedness and error-estimation framework that solves Hamilton-Jacobi equations by minimizing the least-squares residual of monotone finite-difference discretizations. This approach also applies naturally to second-order…
This work is devoted to the development and analysis of a linearization algorithm for microscopic elliptic equations, with scaled degenerate production, posed in a perforated medium and constrained by the homogeneous Neumann-Dirichlet…
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);…
We define a new finite element method for a steady state elliptic problem with discontinuous diffusion coefficients where the meshes are not aligned with the interface. We prove optimal error estimates in the $L^2$ norm and $H^1$ weighted…
This paper is concerned with $C^0$ (non-Lagrange) finite element approximations of the linear elliptic equations in non-divergence form and the Hamilton-Jacobi-Bellman (HJB) equations with Cordes coefficients. Motivated by the…
We consider the numerical solution of Hamilton-Jacobi-Bellman equations arising in stochastic control theory. We introduce a class of monotone approximation schemes relying on monotone interpolation. These schemes converge under very weak…
In this paper we propose a new method to stabilise non-symmetric indefinite problems. The idea is to solve a forward and an adjoint problem simultaneously using a suitable stabilised finite element method. Both stabilisation of the element…
In this article we study a finite horizon optimal control problem with monotone controls. We consider the associated Hamilton-Jacobi-Bellman (HJB) equation which characterizes the value function. We consider the totally discretized problem…
This paper aims to study the convergence of adaptive finite element method for control constrained elliptic optimal control problems under $L^2$-norm. We prove the contraction property and quasi-optimal complexity for the $L^2$-norm errors…
We present a continuous finite element method for some examples of fully nonlinear elliptic equation. A key tool is the discretisation proposed in Lakkis & Pryer (2011, SISC) allowing us to work directly on the strong form of a linear PDE.…
In the first part of the paper, we propose and rigorously analyze a mixed finite element method for the approximation of the periodic strong solution to the fully nonlinear second-order Hamilton--Jacobi--Bellman equation with coefficients…
We consider the homogenization of monotone systems of viscous Hamilton-Jacobi equations with convex nonlinearities set in the stationary, ergodic setting. The primary focus of this paper is on collapsing systems which, as the microscopic…
In this paper, we study adaptive finite element approximations in a perturbation framework, which makes use of the existing adaptive finite element analysis of a linear symmetric elliptic problem. We prove the convergence and complexity of…
We prove precise rates of convergence for monotone approximation schemes of fractional and nonlocal Hamilton-Jacobi-Bellman (HJB) equations. We consider diffusion corrected difference-quadrature schemes from the literature and new…
Fitted finite element methods are constructed for a singularly perturbed convection-diffusion problem in two space dimensions. Exponential splines as basis functions are combined with Shishkin meshes to obtain a stable parameter-uniform…