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On near optimal trajectories for a game associated with the \infty-Laplacian

Probability 2008-12-03 v1

Abstract

A two-player stochastic differential game representation has recently been obtained for solutions of the equation -\Delta_\infty u=h in a \calC^2 domain with Dirichlet boundary condition, where h is continuous and takes values in \RR\setminus\{0\}. Under appropriate assumptions, including smoothness of u, the vanishing \delta limit law of the state process, when both players play \delta-optimally, is identified as a diffusion process with coefficients given explicitly in terms of derivatives of the function u.

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Cite

@article{arxiv.0812.0496,
  title  = {On near optimal trajectories for a game associated with the \infty-Laplacian},
  author = {Rami Atar and Amarjit Budhiraja},
  journal= {arXiv preprint arXiv:0812.0496},
  year   = {2008}
}

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14 pages