A stochastic differential game for the inhomogeneous ∞-Laplace equation
Atar, Rami ; Budhiraja, Amarjit
Ann. Probab., Tome 38 (2010) no. 1, p. 498-531 / Harvested from Project Euclid
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Given a bounded $\mathcal{C}^{2}$ domain G⊂ℝm, functions $g\in\mathcal{C}(\partial G,{\mathbb{R}})$ and $h\in\mathcal {C}(\overline{G},{\mathbb{R}}\setminus\{0\})$ , let u denote the unique viscosity solution to the equation −2Δ∞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.
Publié le : 2010-03-15
Classification:  Stochastic differential games,  infinity-Laplacian,  Bellman–Isaacs equation,  91A15,  91A23,  35J70,  49L20 
@article{1268143525,
     author = {Atar, Rami and Budhiraja, Amarjit},
     title = {A stochastic differential game for the inhomogeneous $\infty$-Laplace equation},
     journal = {Ann. Probab.},
     volume = {38},
     number = {1},
     year = {2010},
     pages = { 498-531},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1268143525}
}

Atar, Rami; Budhiraja, Amarjit. A stochastic differential game for the inhomogeneous ∞-Laplace equation. Ann. Probab., Tome 38 (2010) no. 1, pp.  498-531. http://gdmltest.u-ga.fr/item/1268143525/