The convex envelope is the solution of a nonlinear obstacle problem

被引：70
|
作者：
Oberman, Adam M. [1 ]
机构：
[1] Simon Fraser Univ, Dept Math, Burnaby, BC V5A 1S6, Canada
来源：
PROCEEDINGS OF THE AMERICAN MATHEMATICAL SOCIETY | 2007年 / 135卷 / 06期
关键词：
convex envelope; obstacle problem; partial differential equation;
D O I：
10.1090/S0002-9939-07-08887-9
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We derive a nonlinear partial differential equation for the convex envelope of a given function. The solution is interpreted as the value function of an optimal stochastic control problem. The equation is solved numerically using a convergent finite difference scheme.
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页码：1689 / 1694
页数：6
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