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.
Reviewer: Abdallah Bradji (Annaba)
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 |