Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4646369 | Applied Numerical Mathematics | 2006 | 11 Pages |
Abstract
We prove the convergence of a first order finite difference scheme approximating a non-local eikonal Hamilton–Jacobi equation. The non-local character of the problem makes the scheme not monotone in general. However, by using in a convenient manner the convergence result for monotone scheme of Crandall–Lions, we obtain the same bound for the rate of convergence.
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Physical Sciences and Engineering
Mathematics
Computational Mathematics