SIAM JOURNAL ON NUMERICAL ANALYSIS
© 2019 Society for Industrial and Applied Mathematics. A mixed finite element approximation of H 2 solutions to the fully nonlinear Hamilton-Jacobi-Bellman equation, with coefficients that satisfy the Cordes condition, is proposed and analyzed. A priori and a posteriori bounds on the approximation error are proved. The contributions from the a posteriori error estimator can be used as refinement indicators in an adaptive mesh-refinement algorithm. The convergence of this procedure is proved and empirically studied in numerical experiments.
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