English

A stochastic differential game for the inhomogeneous $\infty$-Laplace equation

Probability 2010-10-05 v2

Abstract

Given a bounded \mathcaligrC2\mathcaligr{C}^2 domain GRmG\subset{\mathbb{R}}^m, functions g\mathcaligrC(G,R)g\in\mathcaligr{C}(\partial G,{\mathbb{R}}) and h\mathcaligrC(Gˉ,R{0})h\in\mathcaligr {C}(\bar{G},{\mathbb{R}}\setminus\{0\}), let uu denote the unique viscosity solution to the equation 2Δu=h-2\Delta_{\infty}u=h in GG with boundary data gg. We provide a representation for uu 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)

R2 v1 2026-06-21T11:09:16.418Z