Unified analysis of discontinuous Galerkin and C⁰-interior penalty finite element methods for Hamilton–Jacobi–Bellman and Isaacs equations

Department of Mathematics, University College London, Gower Street, London WC1E 6BT, UK

^* Corresponding author: i.smears@ucl.ac.uk

Received: 15 June 2020
Accepted: 24 November 2020

Abstract

We provide a unified analysis of a posteriori and a priori error bounds for a broad class of discontinuous Galerkin and C⁰-IP finite element approximations of fully nonlinear second-order elliptic Hamilton–Jacobi–Bellman and Isaacs equations with Cordes coefficients. We prove the existence and uniqueness of strong solutions in H² of Isaacs equations with Cordes coefficients posed on bounded convex domains. We then show the reliability and efficiency of computable residual-based error estimators for piecewise polynomial approximations on simplicial meshes in two and three space dimensions. We introduce an abstract framework for the a priori error analysis of a broad family of numerical methods and prove the quasi-optimality of discrete approximations under three key conditions of Lipschitz continuity, discrete consistency and strong monotonicity of the numerical method. Under these conditions, we also prove convergence of the numerical approximations in the small-mesh limit for minimal regularity solutions. We then show that the framework applies to a range of existing numerical methods from the literature, as well as some original variants. A key ingredient of our results is an original analysis of the stabilization terms. As a corollary, we also obtain a generalization of the discrete Miranda–Talenti inequality to piecewise polynomial vector fields.