Optimal rate of convergence in periodic homogenization of viscous Hamilton-Jacobi equations

Abstract

We study the optimal rate of convergence in periodic homogenization of the viscous Hamilton-Jacobi equation $u_t^{\epsilon }+H(\frac{x}{\epsilon },D{u}^{\epsilon })=\epsilon \Delta u^{\epsilon }$ in ${\mathbb{R}}^n\times (0,\infty )$ subject to a given initial datum. We prove that $\Vert u^{\epsilon }-u{\Vert }_{L^{\infty }({\mathbb{R}}^n\times [0,T])}\le C(1+T)\sqrt{\epsilon }$ for any given $T>0$, where $u$ is the viscosity solution of the effective problem. Moreover, we show that the $O(\sqrt{\epsilon })$ rate is optimal for a natural class of $H$ and a Lipschitz continuous initial datum, both theoretically and through numerical experiments. It remains an interesting question to investigate whether the convergence rate can be improved when $H$ is uniformly convex. Finally, we propose a numerical scheme for the approximation of the effective Hamiltonian based on a finite element approximation of approximate corrector problems.

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References in corpus (5)

• Mixed finite element approximation of periodic Hamilton--Jacobi--Bellman problems with application to numerical homogenization
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Cited by in corpus (1)

• Finite element approximation of stationary Fokker--Planck--Kolmogorov equations with application to periodic numerical homogenization