A stochastic differential game for the inhomogeneous $\infty$-Laplace equation
Probability
2010-10-05 v2
Abstract
Given a bounded domain , functions and , let denote the unique viscosity solution to the equation in with boundary data . We provide a representation for as the value of a two-player zero-sum stochastic differential game.
Cite
@article{arxiv.0808.1457,
title = {A stochastic differential game for the inhomogeneous $\infty$-Laplace equation},
author = {Rami Atar and Amarjit Budhiraja},
journal= {arXiv preprint arXiv:0808.1457},
year = {2010}
}
Comments
Published in at http://dx.doi.org/10.1214/09-AOP494 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)