The convex envelope is the solution of a nonlinear obstacle problem

Oberman, Adam

doi:10.1090/S0002-9939-07-08887-9

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The convex envelope is the solution of a nonlinear obstacle problem

Author: Adam M. Oberman
Journal: Proc. Amer. Math. Soc. 135 (2007), 1689-1694
MSC (2000): Primary 35J70, 52A41; Secondary 93E20, 65N06
Posted: February 7, 2007
MathSciNet review: 2286077
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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.

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