A semi-Lagrangian scheme for the game -Laplacian via -averaging
arXiv:1301.7570 · doi:10.1016/j.apnum.2012.11.006
Abstract
We present and analyze an approximation scheme for the two-dimensional game -Laplacian in the framework of viscosity solutions. The approximation is based on a semi-Lagrangian scheme which exploits the idea of -averages. We study the properties of the scheme and prove that it converges, in particular cases, to the viscosity solution of the game -Laplacian. We also present a numerical implementation of the scheme for different values of ; the numerical tests show that the scheme is accurate.
34 pages, 3 figures. To appear on Applied Numerical Mathematics