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Transactions of the American Mathematical Society

Published by the American Mathematical Society, the Transactions of the American Mathematical Society (TRAN) is devoted to research articles of the highest quality in all areas of pure and applied mathematics.

ISSN 1088-6850 (online) ISSN 0002-9947 (print)

The 2020 MCQ for Transactions of the American Mathematical Society is 1.43.

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A finite difference approach to the infinity Laplace equation and tug-of-war games
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by Scott N. Armstrong and Charles K. Smart PDF
Trans. Amer. Math. Soc. 364 (2012), 595-636 Request permission

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 $\partial \Omega$, 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 $\varepsilon \to 0$, 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 $-\Delta _\infty u = f$. 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 $f\equiv 0$. The stability of the solutions with respect to $f$ is also studied, and an explicit continuous dependence estimate from $f\equiv 0$ is obtained.

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Additional Information
  • Scott N. Armstrong
  • Affiliation: Department of Mathematics, University of California, Berkeley, California 94720
  • Email: sarm@math.berkeley.edu
  • Charles K. Smart
  • Affiliation: Department of Mathematics, University of California, Berkeley, California 94720
  • MR Author ID: 893148
  • Email: smart@math.berkeley.edu
  • Received by editor(s): July 8, 2009
  • Published electronically: September 14, 2011
  • © Copyright 2011 American Mathematical Society
    The copyright for this article reverts to public domain 28 years after publication.
  • Journal: Trans. Amer. Math. Soc. 364 (2012), 595-636
  • MSC (2000): Primary 35J70, 91A15
  • DOI: https://doi.org/10.1090/S0002-9947-2011-05289-X
  • MathSciNet review: 2846345