### 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 -Δ_{∞}u = 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 language | English (US) |
---|---|

Pages (from-to) | 595-636 |

Number of pages | 42 |

Journal | Transactions of the American Mathematical Society |

Volume | 364 |

Issue number | 2 |

DOIs | |

State | Published - 2012 |

### Fingerprint

### Keywords

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

### ASJC Scopus subject areas

- Mathematics(all)
- Applied Mathematics

### Cite this

*Transactions of the American Mathematical Society*,

*364*(2), 595-636. https://doi.org/10.1090/S0002-9947-2011-05289-X

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

Research output: Contribution to journal › Article

*Transactions of the American Mathematical Society*, vol. 364, no. 2, pp. 595-636. https://doi.org/10.1090/S0002-9947-2011-05289-X

}

TY - JOUR

T1 - A finite difference approach to the infinity laplace equation and tug-of-war games

AU - Armstrong, Scott

AU - Smart, Charles K.

PY - 2012

Y1 - 2012

N2 - 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 -Δ∞u = 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.

AB - 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 -Δ∞u = 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.

KW - Finite difference approximations

KW - Infinity laplace equation

KW - Tug-of-war

UR - http://www.scopus.com/inward/record.url?scp=82755163102&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=82755163102&partnerID=8YFLogxK

U2 - 10.1090/S0002-9947-2011-05289-X

DO - 10.1090/S0002-9947-2011-05289-X

M3 - Article

VL - 364

SP - 595

EP - 636

JO - Transactions of the American Mathematical Society

JF - Transactions of the American Mathematical Society

SN - 0002-9947

IS - 2

ER -