Stochastic and Variational Approach to the Lax-Friedrichs Scheme
This provides a new theoretical foundation for a classical numerical scheme, offering stronger convergence guarantees and broader applicability, which is relevant for researchers in numerical analysis and weak KAM theory.
The authors present a stochastic and variational interpretation of the Lax-Friedrichs scheme for hyperbolic scalar conservation laws, achieving pointwise (and uniform except near shocks) convergence for arbitrarily large time intervals, and enabling approximation of characteristic curves. The approach leverages random walks and calculus of variations.
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.