Discontinuous Galerkin and $C^0$-IP finite element approximation of periodic Hamilton--Jacobi--Bellman--Isaacs problems with application to numerical homogenization

Abstract

In the first part of the paper, we study the discontinuous Galerkin (DG) and $C^0$ interior penalty ($C^0$-IP) finite element approximation of the periodic strong solution to the fully nonlinear second-order Hamilton--Jacobi--Bellman--Isaacs (HJBI) equation with coefficients satisfying the Cordes condition. We prove well-posedness and perform abstract a posteriori and a priori analyses which apply to a wide family of numerical schemes. These periodic problems arise as the corrector problems in the homogenization of HJBI equations. The second part of the paper focuses on the numerical approximation to the effective Hamiltonian of ergodic HJBI operators via DG/$C^0$-IP finite element approximations to approximate corrector problems. Finally, we provide numerical experiments demonstrating the performance of the numerical schemes.

arXiv comment25 pages

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• Computational multiscale methods for nondivergence-form elliptic partial differential equations
• Finite element approximation of stationary Fokker--Planck--Kolmogorov equations with application to periodic numerical homogenization