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Finite element approximation of the Isaacs equation
We propose and analyze a two-scale finite element method for the Isaacs
equation. The fine scale is given by the mesh size whereas the coarse scale
is dictated by an integro-differential approximation of the
partial differential equation. We show that the method satisfies the discrete
maximum principle provided that the mesh is weakly acute. This, in conjunction
with weak operator consistency of the finite element method, allows us to
establish convergence of the numerical solution to the viscosity solution as
, and . In addition,
using a discrete Alexandrov Bakelman Pucci estimate we deduce rates of
convergence, under suitable smoothness assumptions on the exact solution