Convergence of approximation schemes for fully nonlinear secondorder equations
Barles, G.; Souganidis, P.E.
Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
Volume , Issue , 5-7 Dec 1990 Page(s):2347 - 2349 vol.4
Digital Object Identifier   10.1109/CDC.1990.204046
Summary:The convergence of a wide class of approximation schemes to the viscosity solution of fully nonlinear second-order elliptic or parabolic, possibly degenerate, partial differential equations is studied. It is proved that any monotone, stable, and consistent scheme converges (to the correct solution), provided that there exists a comparison principle for the limiting equation. Several examples are given where the result applies

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