Discrete approximations to the double-obstacle problem and optimal stopping of tug-of-war games
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Publication:5348741
DOI10.1090/TRAN/6962zbMATH Open1380.35113arXiv1511.01604OpenAlexW2964113455MaRDI QIDQ5348741FDOQ5348741
Authors: Luca Codenotti, Marta Lewicka, Juan J. Manfredi 
Publication date: 21 August 2017
Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)
Abstract: We study the double-obstacle problem for the p-Laplace operator, p 2 [2;1). We prove that for Lipschitz boundary data and Lipschitz obstacles, viscosity solutions are unique and coincide with variational solutions. They are also uniform limits of solutions to discrete min-max problems that can be interpreted as the dynamic programming principle for appropriate tug-ofwar games with noise. In these games, both players in addition to choosing their strategies, are also allowed to choose stopping times. The solutions to the double-obstacle problems are limits of values of these games, when the step-size controlling the single shift in the token's position, converges to 0. We propose a numerical scheme based on this observation and show how it works for some examples of obstacles and boundary data.
Full work available at URL: https://arxiv.org/abs/1511.01604
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Cited In (11)
- An obstacle problem arising in large exponent limit of power mean curvature flow equation
- Finite difference schemes for the parabolic \(p\)-Laplace equation
- Weighted distribution approach to gradient estimates for quasilinear elliptic double-obstacle problems in Orlicz spaces
- An obstacle problem for tug-of-war games
- Convergence of dynamic programming principles for the \(p\)-Laplacian
- The evolution problem associated with eigenvalues of the Hessian
- Higher-order asymptotic expansions and finite difference schemes for the fractional \(p\)-Laplacian
- Variational \(p\)-harmonious functions: existence and convergence to \(p\)-harmonic functions
- A finite difference method for the variational \(p\)-Laplacian
- On \(L^p\)-viscosity solutions of bilateral obstacle problems with unbounded ingredients
- The obstacle problem for the \(p\)-Laplacian via optimal stopping of tug-of-war games
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