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Convergent difference schemes for degenerate elliptic and parabolic equations: Hamilton-Jacobi equations and free boundary problems. (English) Zbl 1124.65103

The author treats the construction of convergent finite difference methods for a class of nonlinear partial differential equations, the class of degenerate elliptic equations with unique viscosity solutions, already defined by M. G. Crandall, H. Ishii and P.-L. Lions [Bull. Am. Math. Soc., New Ser. 27, No. 1, 1–67 (1992; Zbl 0755.35015)].
To get convergence results, theorems about monotonicity and nonexpansivity in the maximum norm are provided and proved for the class of the developed schemes, the so-called degenerate elliptic schemes. The techniques involve schemes for Hamilton-Jacobi equations, free boundary problems and obstacle problems using building blocks of schemes for simpler equations. For time-dependent equations explicit schemes with a nonlinear Courant-Friedrichs-Lewy condition are presented.

MSC:

65N06 Finite difference methods for boundary value problems involving PDEs
65N12 Stability and convergence of numerical methods for boundary value problems involving PDEs
35B50 Maximum principles in context of PDEs
35R35 Free boundary problems for PDEs
35K65 Degenerate parabolic equations
49L25 Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
35J70 Degenerate elliptic equations
65M06 Finite difference methods for initial value and initial-boundary value problems involving PDEs
65M12 Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
35R25 Ill-posed problems for PDEs

Citations:

Zbl 0755.35015
Full Text: DOI