Discrete approximations to the double-obstacle problem and optimal stopping of tug-of-war games

DOI10.1090/TRAN/6962zbMATH Open1380.35113OpenAlexW2964113455MaRDI 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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zbMATH Keywords

\(p\)-Laplaciannumerical computationtug-of-war gamedouble-obstacle problemuniqueness of a viscosity solution

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Quasilinear elliptic equations with (p)-Laplacian (35J92)

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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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