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Implicit difference methods for Hamilton-Jacobi differential functional equations

Kępczyńska A.

Demonstratio Mathematica

2007

Vol. 40, nr 1

125-150

Classical solutions of the local Cauchy problem on the Haar pyramid are approximated in the paper by solutions of suitable quasilinear systems of difference functional equations. The numerical methods are difference schemes which are implicit with respect to time variable. A complete convergence analysis for the methods is given and it is shown that the new methods are considerable better than the explicit schemes. The proof of the stability is based on a comparison technique with nonlinear estimates of the Perron type. Numerical examples are given.