Noisy tug of war games for the p-Laplacian: 1 < p < \infty

DOI10.1512/IUMJ.2021.70.8358MaRDI QIDQ4994366zbMATH OpenOpenAlexFDO

Authors Marta Lewicka

Publication date 17 June 2021

Published in Indiana University Mathematics Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.03413

zbMATH Keywords

tug of war gamesfinite difference approximation to Dirichlet problem

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15)

Abstract: We propose a new finite difference approximation to the Dirichlet problem for the homogeneous $mathbfp$-Laplace equation posed on an $N$-dimensional domain, in connection with the Tug of War games with noise. Our game and the related mean-value expansion that we develop, superposes the ``deterministic averages ``$frac12(inf+sup)$ taken over balls, with the ``stochastic averages ``$fint$, taken over $N$-dimensional ellipsoids whose aspect ratio depends on $N,mathbfp$ and whose orientations span all directions while determining $inf/sup$. We show that the unique solutions $u_{e}psilon$ of the related dynamic programming principle are automatically continuous for continuous boundary data, and coincide with the well-defined game values. Our game has thus the min-max property: the order of supremizing the outcomes over strategies of one player and infimizing over strategies of their opponent, is immaterial. We further show that domains satisfying the exterior corkscrew condition are game regular in this context, i.e. the family ${u_{e}psilon}_{epsilono0}$ converges uniformly to the unique viscosity solution of the Dirichlet problem.

Recommendations

• Tug-of-war with noise: a game-theoretic view of the \(p\)-Laplacian
• Non-local Tug-of-War with noise for the geometric fractional \(p\)-Laplacian
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Cites work

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• Tug-of-war and the infinity Laplacian
• Tug-of-war games with varying probabilities and the normalized \(p(x)\)-Laplacian
• Tug-of-war with noise: a game-theoretic view of the \(p\)-Laplacian
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Cited in

(12)

• Game-theoretic p-Laplace operator involving the gradient
• Tug-of-war with noise: a game-theoretic view of the \(p\)-Laplacian
• Maximal operators for the \(p\)-Laplacian family
• Local regularity results for value functions of tug-of-war with noise and running payoff
• A semi-Lagrangian scheme for the game \(p\)-Laplacian via \(p\)-averaging
• A finite difference approach to the infinity Laplace equation and tug-of-war games
• Non-local Tug-of-War with noise for the geometric fractional \(p\)-Laplacian
• Tug-of-war with Kolmogorov
• The unique continuation property for a nonlinear equation on trees
• Discrete approximations to the double-obstacle problem and optimal stopping of tug-of-war games
• The obstacle problem for the \(p\)-Laplacian via optimal stopping of tug-of-war games
• A homogenization process for the strong p(x)-Laplacian

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