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On the convergence of finite element methods for Hamilton-Jacobi-Bellman equations. (English) Zbl 1266.65166

The authors study the convergence of monotone \(P1\) finite element methods on unstructured meshes for fully nonlinear Hamilton-Jacobi-Bellman equations arising from stochastic optimal control problems with possibly degenerate, isotropic diffusions. Using elliptic projection operators, some discretizations which violate the consistency conditions of the framework by G. Barles and P. E. Souganidis [SIAM J. Math. Anal., 31 , 925–939 (2000; Zbl 0960.70015)] are treated. Some strong uniform convergence of the numerical solutions and strong \(L^2\) convergence of the gradients are obtained.

MSC:

65M60 Finite element, Rayleigh-Ritz and Galerkin 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
35D40 Viscosity solutions to PDEs
35K65 Degenerate parabolic equations
35K55 Nonlinear parabolic equations

Citations:

Zbl 0960.70015