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 Open1380.35113OpenAlexW2964113455MaRDI QIDQ5348741FDOQ5348741
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.
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Cited In (14)
- 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
- Maximal operators for the \(p\)-Laplacian family
- 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
- A semi-Lagrangian scheme for the game \(p\)-Laplacian via \(p\)-averaging
- Higher-order asymptotic expansions and finite difference schemes for the fractional \(p\)-Laplacian
- Variational \(p\)-harmonious functions: existence and convergence to \(p\)-harmonic functions
- Games for the two membranes problem
- 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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