On the approximation of the principal eigenvalue for a class of nonlinear elliptic operators

We present a finite difference method to compute the principal eigenvalue and the corresponding eigenfunction for a large class of second order elliptic operators including notably linear operators in nondivergence form and fully nonlinear operators. The principal eigenvalue is computed by solving a finite-dimensional nonlinear min-max optimization problem. We prove the convergence of the method and we discuss its implementation. Some examples where the exact solution is explicitly known show the effectiveness of the method.