Convergent semi-Lagrangian methods for the Monge-Ampère equation on unstructured grids

This paper is concerned with developing and analyzing convergent semi-Lagrangian methods for the fully nonlinear elliptic Monge-Ampère equation on general triangular grids. This is done by establishing an equivalent (in the viscosity sense) Hamilton-Jacobi-Bellman formulation of the Monge-Ampère equation. A significant benefit of the reformulation is the removal of the convexity constraint from the admissible space as convexity becomes a built-in property of the new formulation. Moreover, this new approach allows one to tap the wealthy numerical methods, such as semi-Lagrangian schemes, for Hamilton-Jacobi-Bellman equations to solve Monge-Ampère type equations. It is proved that the considered numerical methods are monotone, pointwise consistent and uniformly stable. Consequently, its solutions converge uniformly to the unique convex viscosity solution of the Monge-Ampère Dirichlet problem. A superlinearly convergent Howard's algorithm, which is a Newton--type method, is utilized as the nonlinear solver to take advantage of the monotonicity of the scheme. Numerical experiments are also presented to gauge the performance of the proposed numerical method and the nonlinear solver

Adaptive interior penalty methods for Hamilton–Jacobi–Bellman equations with Cordes coefficients

In this paper we conduct a priori and a posteriori error analysis of the C0 interior penalty method for Hamilton–Jacobi–Bellman equations, with coefficients that satisfy the Cordes condition. These estimates show the quasi-optimality of the method, and provide one with an adaptive finite element method. In accordance with the proven regularity theory, we only assume that the solution of the Hamilton–Jacobi–Bellman equation belongs to H2