A finite difference approach to the infinity laplace equation and tug-of-war games

Scott Armstrong, Charles K. Smart

Research output: Contribution to journalArticle

Abstract

We present a modified version of the two-player "tug-of-war" game introduced by Peres, Schramm, Sheffield, and Wilson (2009). This new tug-of-war game is identical to the original except near the boundary of the domain ∂Ω, but its associated value functions are more regular. The dynamic programming principle implies that the value functions satisfy a certain finite difference equation. By studying this difference equation directly and adapting techniques from viscosity solution theory, we prove a number of new results. We show that the finite difference equation has unique maximal and minimal solutions, which are identified as the value functions for the two tug-of-war players. We demonstrate uniqueness, and hence the existence of a value for the game, in the case that the running payoff function is nonnegative. We also show that uniqueness holds in certain cases for sign-changing running payoff functions which are sufficiently small. In the limit ε → 0, we obtain the convergence of the value functions to a viscosity solution of the normalized infinity Laplace equation. We also obtain several new results for the normalized infinity Laplace equation -Δu = f. In particular, we demonstrate the existence of solutions to the Dirichlet problem for any bounded continuous f, and continuous boundary data, as well as the uniqueness of solutions to this problem in the generic case. We present a new elementary proof of uniqueness in the case that f > 0, f < 0, or f ≡ 0. The stability of the solutions with respect to f is also studied, and an explicit continuous dependence estimate from f ≡ 0 is obtained.

Original languageEnglish (US)
Pages (from-to)595-636
Number of pages42
JournalTransactions of the American Mathematical Society
Volume364
Issue number2
DOIs
StatePublished - 2012

Fingerprint

Laplace equation
Laplace's equation
Value Function
Finite Difference
Infinity
Game
Finite Difference Equation
Uniqueness
Difference equations
Viscosity Solutions
Dynamic Programming Principle
Maximal Solution
Minimal Solution
Uniqueness of Solutions
Continuous Dependence
Viscosity
Difference equation
Dirichlet Problem
Demonstrate
Existence of Solutions

Keywords

  • Finite difference approximations
  • Infinity laplace equation
  • Tug-of-war

ASJC Scopus subject areas

  • Mathematics(all)
  • Applied Mathematics

Cite this

A finite difference approach to the infinity laplace equation and tug-of-war games. / Armstrong, Scott; Smart, Charles K.

In: Transactions of the American Mathematical Society, Vol. 364, No. 2, 2012, p. 595-636.

Research output: Contribution to journalArticle

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