A STOCHASTIC DIFFERENTIAL GAME FOR THE INHOMOGENEOUS ∞-LAPLACE EQUATION

被引：15
|
作者：
Atar, Rami [1 ]
Budhiraja, Amarjit [2 ]
机构：
[1] Technion Israel Inst Technol, Dept Elect Engn, IL-32000 Haifa, Israel
[2] Univ N Carolina, Dept Stat & Operat Res, Chapel Hill, NC 27599 USA
来源：
ANNALS OF PROBABILITY | 2010年 / 38卷 / 02期
关键词：
Stochastic differential games; infinity-Laplacian; Bellman-Isaacs equation; EXISTENCE; CURVATURE;
D O I：
10.1214/09-AOP494
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Given a bounded C(2) domain G subset of R(m), functions g is an element of C(partial derivative G, R) and h is an element of C((G) over bar, R backslash {0}), let u denote the unique viscosity solution to the equation -2 Delta(infinity)u = h in G with boundary data g. We provide a representation for u as the value of a two-player zero-sum stochastic differential game.
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页码：498 / 531
页数：34
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