Stochastic and Variational Approach to the Lax-Friedrichs Scheme

TL;DR

This paper introduces a stochastic and variational framework for analyzing the Lax-Friedrichs scheme, providing pointwise convergence and characteristic curve approximation for hyperbolic conservation laws.

Contribution

It develops a novel stochastic variational approach converting the scheme into Hamilton-Jacobi form, enabling stability and convergence proofs with uniform convergence results.

Findings

Pointwise convergence of the scheme is established.

Convergence holds over arbitrarily large time intervals.

Characteristic curves can be approximated alongside PDE solutions.

Abstract

We present a stochastic and variational aspect of the Lax-Friedrichs scheme applied to hyperbolic scalar conservation laws. This is a finite difference version of Fleming's results ('69) that the vanishing viscosity method is characterized by stochastic processes and calculus of variations. We convert the difference equation into that of the Hamilton-Jacobi type and introduce corresponding calculus of variations with random walks. The stability of the scheme is obtained through the calculus of variations. The convergence of approximation is derived from the law of large numbers in hyperbolic scaling limit of random walks. The main advantages due to our approach are the following: Our framework is basically pointwise convergence, not $L^1$ as usual, which yields uniform convergence except "small" neighborhoods of shocks; The convergence proof is verified for arbitrarily large time interval, which is hard to obtain in the case of flux functions of general types depending on both space and time; The approximation of characteristics curves is available as well as that of PDE-solutions, which is particularly important for applications of the Lax-Friedrichs scheme to the weak KAM theory.