The convex envelope is the solution of a nonlinear obstacle problem
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- by Adam M. Oberman PDF
- Proc. Amer. Math. Soc. 135 (2007), 1689-1694 Request permission
Abstract:
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.References
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Additional Information
- Adam M. Oberman
- Affiliation: Department of Mathematics, Simon Fraser University, Burnaby, British Columbia, Canada V5A 1S6
- MR Author ID: 667376
- Email: aoberman@sfu.ca
- Received by editor(s): November 29, 2005
- Published electronically: February 7, 2007
- Additional Notes: It is a pleasure to acknowledge Luis Silvestre for valuable discussions.
- Communicated by: Walter Craig
- © Copyright 2007 American Mathematical Society
- Journal: Proc. Amer. Math. Soc. 135 (2007), 1689-1694
- MSC (2000): Primary 35J70, 52A41; Secondary 93E20, 65N06
- DOI: https://doi.org/10.1090/S0002-9939-07-08887-9
- MathSciNet review: 2286077