Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
For linear and fully non-linear diffusion equations of Bellman-Isaacs type, we introduce a class of approximation schemes based on differencing and interpolation.As opposed to classical numerical methods, these schemes work for general diffusions with coefficient matrices that may be nondiagonal dominant and arbitrarily degenerate.In general such schemes have to have …