We prove that if U ⊂ R n is an open domain whose closure U is compact in the path metric, and F is a Lipschitz function on ∂U , then for each β ∈ R there exists a unique viscosity solution to the β-biased infinity Laplacian equation
We study a version of the stochastic "tug-of-war" game, played on graphs and smooth domains, with the empty set of terminal states. We prove that, when the running payoff function is shifted by an appropriate constant, the values of the game after n steps converge in the continuous case and the case of finite graphs with loops. Using this we prove the existence of solutions to the infinity Laplace equation with vanishing Neumann boundary condition.2010 Mathematics Subject Classification. Primary 35J70, 91A15, 91A24.
Abstract. We obtain existence, uniqueness, and stability results for the modified 1-homogeneous infinity Laplace equationsubject to Dirichlet or mixed Dirichlet-Neumann boundary conditions. Our arguments rely on comparing solutions of the PDE to subsolutions and supersolutions of a certain finite difference approximation.
We consider the obstacle problem for the infinity Laplace equation. Given a Lipschitz boundary function and a Lipschitz obstacle we prove the existence and uniqueness of a super infinity-harmonic function constrained to lie above the obstacle which is infinity harmonic where it lies strictly above the obstacle. Moreover, we show that this function is the limit of value functions of a game we call obstacle tugof-war. This is much like the case in American options where investors can exercise the option at any time up to expiry and accept a payoff equal to the intrinsic
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