Related papers: Stochastic and variational approach to finite diff…
We propose a globally convergent numerical method, called the convexification, to numerically compute the viscosity solution to first-order Hamilton-Jacobi equations through the vanishing viscosity process where the viscosity parameter is a…
A new class of non-monotone finite difference (FD) approximation methods for approximating solutions to non-degenerate stationary Hamilton-Jacobi problems with Dirichlet boundary conditions is proposed and analyzed. The new FD methods add a…
We prove explicit estimates for the error in random homogenization of degenerate, second-order Hamilton-Jacobi equations, assuming the coefficients satisfy a finite range of dependence. In particular, we obtain an algebraic rate of…
Reachable sets for a dynamical system describe collections of system states that can be reached in finite time, subject to system dynamics. They can be used to guarantee goal satisfaction in controller design or to verify that unsafe…
For non convex Hamiltonians, the viscosity solution and the more geometric minimax solution of the Hamilton-Jacobi equation do not coincide in general. They are nevertheless related: we show that iterating the minimax procedure during…
In this paper, we present and analyse a class of "filtered" numerical schemes for second order Hamilton-Jacobi-Bellman equations. Our approach follows the ideas introduced in B.D. Froese and A.M. Oberman, Convergent filtered schemes for the…
We propose a new numerical method for solving the Hamilton-Jacobi-Bellman quasi-variational inequality associated with the combined impulse and stochastic optimal control problem over a finite time horizon. Our method corresponds to an…
The Vlasov-Fokker-Planck equation describes the evolution of the probability density of the position and velocity of particles under the influence of external confinement, interaction, friction, and stochastic force. It is well-known that…
We consider a numerical scheme for the one dimensional time dependent Hamilton-Jacobi equation in the periodic setting. We present a new and simple proof of the rate of convergence of the approximations based on the adjoint method recently…
We investigate in this work a fully-discrete semi-Lagrangian approximation of second order possibly degenerate Hamilton-Jacobi-Bellman (HJB) equations on a bounded domain with oblique boundary conditions. These equations appear naturally in…
A Hamilton-Jacobi equation with Caputo's time-fractional derivative of order less than one is considered. The notion of a viscosity solution is introduced to prove unique existence of a solution to the initial value problem under periodic…
We investigate the consistency and convergence of flux-corrected finite element approximations in the context of nonlinear hyperbolic conservation laws. In particular, we focus on a monolithic convex limiting approach and prove a…
The stability of difference schemes for, in general, hyperbolic systems of conservation laws with source terms are studied. The basic approach is to investigate the stability of a non-linear scheme in terms of its cor- responding scheme in…
We introduce some sparse grids interpolations used in Semi-Lagrangian schemes for linear and fully non-linear diffusion Hamilton Jacobi Bellman equations arising in stochastic control. We prove that the method introduced converges toward…
We propose a novel, mesh-free, and gradient-free fixed-point approach for computing viscosity solutions of high-dimensional Hamilton-Jacobi (HJ) equations. By leveraging the Hopf-Lax formula, our approach iteratively solves the associated…
We propose and study a fully discrete finite volume scheme for the Vlasov-Fokker-Planck equation written as an hyperbolic system using Hermite polynomials in velocity. This approach naturally preserves the stationary solution and the…
We introduce a new numerical method to approximate the solutions of a class of stationary Hamilton-Jacobi (HJ) partial differential equations arising from minimum time optimal control problems. We rely on nested grid approximations, and…
We consider an obstacle problem for (possibly non-local) wave equations, and we prove existence of weak solutions through a convex minimization approach based on a time discrete approximation scheme. We provide the corresponding numerical…
In this paper hyperbolic partial differential equations with random coefficients are discussed. We consider the challenging problem of flux functions with coefficients modeled by spatiotemporal random fields. Those fields are given by…
In this paper we study an approximation scheme for an Hamilton-Jacobi equation of Eikonal type defined on a network. We introduce an appropriate notion of viscosity solution for this class of equations (see \cite{sc}) and we prove that an…