Title :
Convergence of approximation schemes for fully nonlinear second order equations
Author :
Barles, G. ; Souganidis, P.E.
Author_Institution :
CEREMADE, Paris Univ., France
Abstract :
The convergence of a wide class of approximation schemes to the viscosity solution of fully nonlinear second-order elliptic or parabolic, possibly degenerate, partial differential equations is studied. It is proved that any monotone, stable, and consistent scheme converges (to the correct solution), provided that there exists a comparison principle for the limiting equation. Several examples are given where the result applies
Keywords :
approximation theory; convergence; nonlinear differential equations; partial differential equations; approximation schemes; comparison principle; convergence; degenerate equations; elliptic equations; fully nonlinear second order equations; limiting equation; parabolic equations; partial differential equations; viscosity solution; Concrete; Contracts; Convergence of numerical methods; Grid computing; Mathematics; Nonlinear equations; Symmetric matrices; Tin; Viscosity;
Conference_Titel :
Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
Conference_Location :
Honolulu, HI
DOI :
10.1109/CDC.1990.204046
