Search results for "Infinity Laplacian"

Discontinuous Gradient Constraints and the Infinity Laplacian

2012

Motivated by tug-of-war games and asymptotic analysis of certain variational problems, we consider a gradient constraint problem involving the infinity Laplace operator. We prove that this problem always has a solution that is unique if a certain regularity condition on the constraint is satisfied. If this regularity condition fails, then solutions obtained from game theory and $L^p$-approximation need not coincide.

A tour of the theory of absolutely minimizing functions

2004

A detailed analysis of the class of absolutely minimizing functions in Euclidean spaces and the relationship to the infinity Laplace equation

TUG-OF-WAR, MARKET MANIPULATION, AND OPTION PRICING

2014

We develop an option pricing model based on a tug-of-war game involving the the issuer and holder of the option. This two-player zero-sum stochastic differential game is formulated in a multi-dimensional financial market and the agents try, respectively, to manipulate/control the drift and the volatility of the asset processes in order to minimize and maximize the expected discounted pay-off defined at the terminal date $T$. We prove that the game has a value and that the value function is the unique viscosity solution to a terminal value problem for a partial differential equation involving the non-linear and completely degenerate parabolic infinity Laplace operator.

On the best Lipschitz extension problem for a discrete distance and the discrete ∞-Laplacian

2012

Abstract This paper concerns the best Lipschitz extension problem for a discrete distance that counts the number of steps. We relate this absolutely minimizing Lipschitz extension with a discrete ∞-Laplacian problem, which arises as the dynamic programming formula for the value function of some e -tug-of-war games. As in the classical case, we obtain the absolutely minimizing Lipschitz extension of a datum f by taking the limit as p → ∞ in a nonlocal p -Laplacian problem.

The ∞-Eigenvalue Problem

1999

. The Euler‐Lagrange equation of the nonlinear Rayleigh quotient \( \left(\int_{\Omega}|\nabla u|^{p}\,dx\right) \bigg/ \left(\int_{\Omega}|u|^{p}\,dx\right)\) is \( -\div\left( |\nabla u|^{p-2}\nabla u \right)= \Lambda_{p}^{p} |u |^{p-2}u,\) where \(\Lambda_{p}^{p}\) is the minimum value of the quotient. The limit as \(p\to\infty\) of these equations is found to be \(\max \left\{ \Lambda_{\infty}-\frac{|\nabla u(x)|}{u(x)},\ \ \Delta_{\infty}u(x)\right\}=0,\) where the constant \(\Lambda_{\infty}=\lim_{p\to\infty}\Lambda_{p}\) is the reciprocal of the maximum of the distance to the boundary of the domain Ω.

C0-semigroups norm continuous at infinity

1996

Harnack's inequality for p-harmonic functions via stochastic games

2013

We give a proof of asymptotic Lipschitz continuity of p-harmonious functions, that are tug-of-war game analogies of ordinary p-harmonic functions. This result is used to obtain a new proof of Lipsc...

Principal eigenvalue of a very badly degenerate operator and applications

2007

Abstract In this paper, we define and investigate the properties of the principal eigenvalue of the singular infinity Laplace operator Δ ∞ u = ( D 2 u D u | D u | ) ⋅ D u | D u | . This operator arises from the optimal Lipschitz extension problem and it plays the same fundamental role in the calculus of variations of L ∞ functionals as the usual Laplacian does in the calculus of variations of L 2 functionals. Our approach to the eigenvalue problem is based on the maximum principle and follows the outline of the celebrated work of Berestycki, Nirenberg and Varadhan [H. Berestycki, L. Nirenberg, S.R.S. Varadhan, The principal eigenvalue and maximum principle for second-order elliptic operator…