Related papers: A game interpretation for the weighted $p$-Laplace…
We formulate a stochastic differential game in continuous time that represents the unique viscosity solution to a terminal value problem for a parabolic partial differential equation involving the normalized $p(x,t)$-Laplace operator. Our…
We present and analyze an approximation scheme for the two-dimensional game $p$-Laplacian in the framework of viscosity solutions. The approximation is based on a semi-Lagrangian scheme which exploits the idea of $p$-averages. We study the…
In this paper we find viscosity solutions to the two membranes problem (that is a system with two obstacle-type equations) with two different $p-$Laplacian operators taking limits of value functions of a sequence of games. We analyze…
We study a class of second order variational inequalities with bilateral constraints. Under certain conditions we show the existence of a unique viscosity solution of these variational inequalities and give a stochastic representation to…
In this paper we find viscosity solutions to a coupled system composed by two equations, the first one is parabolic and driven by the infinity Laplacian while the second one is elliptic and involves the usual Laplacian. We prove that there…
Given a bounded $\mathcaligr{C}^2$ domain $G\subset{\mathbb{R}}^m$, functions $g\in\mathcaligr{C}(\partial G,{\mathbb{R}})$ and $h\in\mathcaligr {C}(\bar{G},{\mathbb{R}}\setminus\{0\})$, let $u$ denote the unique viscosity solution to the…
We prove the existence and uniqueness of viscosity solutions to quasi-variational inequalities (QVIs) with both upper and lower obstacles. In contrast to most previous works, we allow all involved coefficients to depend on the state…
In this paper we study a two person zero sum stochastic differential game in weak formulation. Unlike standard literature which uses strategy type of controls, the weak formulation allows us to consider the game with control against…
In this paper we investigate zero-sum two-player stochastic differential games whose cost functionals are given by doubly controlled reflected backward stochastic differential equations (RBSDEs) with two barriers. For admissible controls…
We consider a two-player zero-sum game with integral payoff and with incomplete information on one side, where the payoff is chosen among a continuous set of possible payoffs. We prove that the value function of this game is solution of an…
In this paper we find viscosity solutions to an elliptic system governed by two different operators (the Laplacian and the infinity Laplacian) using a probabilistic approach. We analyze a game that combines the Tug-of-War with Random Walks…
This paper concerns value functions of time-dependent tug-of-war games. We first prove the existence and uniqueness of value functions and verify that these game values satisfy a dynamic programming principle. Using the arguments in the…
In this paper, we study a certain type of noisy tug-of-war game which can be regarded as an interpretation of a certain type of boundary value problem for the normalized $p$-Laplace equation, where $1<p<2$. More precisely, we will…
A zero-sum differential game with controlled jump-diffusion driven state is considered, and studied using a combination of dynamic programming and viscosity solution techniques. We prove, under certain conditions, that the value of the game…
In this paper, we consider a differential stochastic zero-sum game in which two players intervene by adopting impulse controls in a finite time horizon. We provide a numerical solution as an approximation of the value function, which turns…
This paper analyses a stochastic differential game of control and stopping in which one of the players modifies a diffusion process using impulse controls, an adversary then chooses a stopping time to end the game. The paper firstly…
We consider the (viscosity) solution $u^\varepsilon$ of the elliptic equation $\varepsilon^2\Delta_p^G u= u$ in a domain (not necessarily bounded), satisfying $u=1$ on its boundary. Here, $\Delta_p^G$ is the {\it game-theoretic or…
We analyze a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The payoffs of the game are defined through backward stochastic differential equations. We prove that each player's priority…
We study a zero-sum stochastic differential switching game in infinite horizon. We prove the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities…
We establish the equivalence between weak and viscosity solutions for non-homogeneous $p(x)$-Laplace equations with a right-hand side term depending on the spatial variable, the unknown, and its gradient. We employ inf- and sup-convolution…