Biased tug-of-war, the biased infinity Laplacian, and comparison with exponential cones

Differential games and control (49N70) Viscosity solutions to PDEs (35D40) Degenerate elliptic equations (35J70) Stochastic games, stochastic differential games (91A15) Positional games (pursuit and evasion, etc.) (91A24)

Abstract: We prove that if UsubsetR^n is an open domain whose closure overline{U} is compact in the path metric, and F is a Lipschitz function on partial{U}, then for each �etainR there exists a unique viscosity solution to the �eta-biased infinity Laplacian equation �eta |

abla u| + Delta_infty u=0 on U that extends F, where Delta_infty u= |

abla u|^{-2} sum_{i,j} u_{x_i}u_{x_ix_j} u_{x_j}. In the proof, we extend the tug-of-war ideas of Peres, Schramm, Sheffield and Wilson, and define the �eta-biased eps-game as follows. The starting position is x_0 in U. At the k^ ext{th} step the two players toss a suitably biased coin (in our key example, player I wins with odds of exp(�etaeps) to 1), and the winner chooses x_k with d(x_k,x_{k-1}) < eps. The game ends when x_k in partial{U}, and player II pays the amount F(x_k) to player I. We prove that the value u^{eps}(x_0) of this game exists, and that |u^eps - u|_infty o 0 as eps o 0, where u is the unique extension of F to overline{U} that satisfies comparison with �eta-exponential cones. Comparison with exponential cones is a notion that we introduce here, and generalizing a theorem of Crandall, Evans and Gariepy regarding comparison with linear cones, we show that a continuous function satisfies comparison with �eta-exponential cones if and only if it is a viscosity solution to the �eta-biased infinity Laplacian equation.

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