Search results for "stochastic games"

Solutions of nonlinear PDEs in the sense of averages

2012

Abstract We characterize p-harmonic functions including p = 1 and p = ∞ by using mean value properties extending classical results of Privaloff from the linear case p = 2 to all pʼs. We describe a class of random tug-of-war games whose value functions approach p-harmonic functions as the step goes to zero for the full range 1 p ∞ .

Local regularity for time-dependent tug-of-war games with varying probabilities

2016

We study local regularity properties of value functions of time-dependent tug-of-war games. For games with constant probabilities we get local Lipschitz continuity. For more general games with probabilities depending on space and time we obtain H\"older and Harnack estimates. The games have a connection to the normalized $p(x,t)$-parabolic equation $(n+p(x,t))u_t=\Delta u+(p(x,t)-2) \Delta_{\infty}^N u$.

Uniform measure density condition and game regularity for tug-of-war games

2018

We show that a uniform measure density condition implies game regularity for all 2 < p < ∞ in a stochastic game called “tug-of-war with noise”. The proof utilizes suitable choices of strategies combined with estimates for the associated stopping times and density estimates for the sum of independent and identically distributed random vectors. peerReviewed

Asymptotic Hölder regularity for the ellipsoid process

2020

We obtain an asymptotic Hölder estimate for functions satisfying a dynamic programming principle arising from a so-called ellipsoid process. By the ellipsoid process we mean a generalization of the random walk where the next step in the process is taken inside a given space dependent ellipsoid. This stochastic process is related to elliptic equations in non-divergence form with bounded and measurable coefficients, and the regularity estimate is stable as the step size of the process converges to zero. The proof, which requires certain control on the distortion and the measure of the ellipsoids but not continuity assumption, is based on the coupling method.

On the local and global regularity of tug-of-war games

2018

This thesis studies local and global regularity properties of a stochastic two-player zero-sum game called tug-of-war. In particular, we study value functions of the game locally as well as globally, that is, close to the boundaries of the game domains. Furthermore, we formulate a continuous time stochastic differential game and discuss, among other things, the equicontinuity of the families of value functions. The main motivation is to understand the properties of the games on their own right. As applications, we obtain an existence and a regularity result for a nonlinear elliptic p-Laplace type partial differential equation and a characterization of the solution to a parabolic p-Laplace typ…

Asymptotic Lipschitz regularity for tug-of-war games with varying probabilities

2018

We prove an asymptotic Lipschitz estimate for value functions of tug-of-war games with varying probabilities defined in $\Omega\subset \mathbb R^n$. The method of the proof is based on a game-theoretic idea to estimate the value of a related game defined in $\Omega\times \Omega$ via couplings.

Regularity properties of tug-of-war games and normalized equations

2017