This paper concerns value functions of time-dependent tug-of-war games. We first prove the existence and uniqueness of value functions and verify that these game values satisfy a dynamic programming principle. Using the arguments in the proof of existence of game values, we can also deduce asymptotic behavior of game values when $T \to \infty$. Furthermore, we investigate boundary regularity for game values. Thereafter, based on the regularity results for value functions, we deduce that game values converge to viscosity solutions of the normalized parabolic $p$-Laplace equation.
We prove an asymptotic Lipschitz estimate for value functions of tug-of-war games with varying probabilities defined in $Ω\subset \mathbb R^n$. The method of the proof is based on a game-theoretic idea to estimate the value of a related game defined in $Ω\times Ω$ via couplings.
We prove local Lipschitz continuity and Harnack's inequality for value functions of the stochastic game tug-of-war with noise and running payoff. As a consequence, we obtain game-theoretic proofs for the same regularity properties for viscosity solutions of the inhomogeneous $p$-Laplace equation when $p>2$.
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 tug-of-war.
In this work we discuss a random Tug-of-War game in graphs where one of the players has the power to decide at each turn whether to play a round of classical random Tug-of-War, or let the other player choose the new game position in exchange of a fixed payoff. We prove that this game has a value using a discrete comparison principle and viscosity tools, as well as probabilistic arguments. This game is related to Jensen's extremal equations, which have a key role in Jensen's celebrated proof of uniqueness of infinity harmonic functions.
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 Hölder and Harnack estimates. The games have a connection to the normalized $p(x,t)$-parabolic equation $(n+p(x,t))u_t=Δu+(p(x,t)-2) Δ_{\infty}^N u$.
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.
We propose a new version of the tug-of-war game and a corresponding dynamic programming principle related to the $p$-Laplacian with $1<p<2$. For this version, the asymptotic Hölder continuity of solutions can be directly derived from recent Krylov-Safonov type regularity results in the singular case. Moreover, existence of a measurable solution can be obtained without using boundary corrections. We also establish a comparison principle.
We study a tug-of-war game with varying probabilities. In particular, we show that the value of the game is locally asymptotically Hölder continuous. We also show the existence and uniqueness of values of the game. As an application, we prove that the value function of the game converges to a solution of the normalized $p(x)$-Laplacian.
We formulate a stochastic differential game in continuous time that represents the unique viscosity solution to a terminal value problem for a parabolic partial differential equation involving the normalized $p(x,t)$-Laplace operator. Our game is formulated in a way that covers the full range $1<p(x,t)<\infty$. Furthermore, we prove the uniqueness of viscosity solutions to our equation in the whole space under suitable assumptions.
The fractional heat operator $(\partial_t-Δ_x)^s$ and Continuous Time Random Walks (CTRWs) are interesting and sophisticated mathematical models that can describe complex anomalous systems. In this paper, we prove asymptotic mean value representation formulas for functions with respect to $(\partial_t-Δ_x)^s$ and we introduce new nonlocal, nonlinear parabolic operators related to a tug-of-war which accounts for waiting times and space-time couplings. These nonlocal, nonlinear parabolic operators and equations can be seen as nonlocal versions of the evolutionary infinity Laplace operator.
We define a random step size tug-of-war game, and show that the gradient of a value function exists almost everywhere. We also prove that the gradients of value functions are uniformly bounded and converge weakly to the gradient of the corresponding $p$-harmonic function. Moreover, we establish an improved Lipschitz estimate when boundary values are close to a plane. Such estimates are known to play a key role in higher regularity theory of partial differential equations. The proofs are based on cancellation and coupling methods as well as improved version of the cylinder walk argument.
In this paper we show how to use a Tug-of-War game to obtain existence of a viscosity solution to the infinity laplacian with non-homogeneous mixed boundary conditions. For a Lipschitz and positive function $g$ there exists a viscosity solution of the mixed boundary value problem, $$ \{\begin{array}{ll} \displaystyle -Δ_{\infty}u(x)=0\quad & \text{in} Ω, \displaystyle \frac{\partial u}{\partial n}(x)= g (x)\quad & \text{on} Γ_N, \displaystyle u(x)= 0 \quad & \text{on} Γ_D. \end{array}. $$
Motivated by the "tug-of-war" game studied in [12], we consider a "non-local" version of the game which goes as follows: at every step two players pick respectively a direction and then, instead of flipping a coin in order to decide which direction to choose and then moving of a fixed amount $ε>0$ (as is done in the classical case), it is a $s$-stable Levy process which chooses at the same time both the direction and the distance to travel. Starting from this game, we heuristically we derive a deterministic non-local integro-differential equation that we call "infinity fractional Laplacian". W…
We study the mean value properties of $\mathbf{p}$-harmonic functions on the first Heisenberg group $\mathbb{H}$, in connection to the dynamic programming principles of certain stochastic processes. We implement the approach of Peres-Scheffield to provide the game-theoretical interpretation of the sub-elliptic $\mathbf{p}$-Laplacian; and of Manfredi-Parviainen-Rossi to characterize its viscosity solutions via the asymptotic mean value expansions.
In this paper we prove that a function $ u\in\mathcal{C}(\barΩ)$ is the continuous value of the Tug-of-War game described in \cite{PSSW} if and only if it is the unique viscosity solution to the infinity laplacian with mixed boundary conditions {-Δ_{\infty}u(x)=0\quad & \text{in} Ω, \frac{\partial u}{\partial n}(x)=0\quad & \text{on} Γ_N, u(x)=F(x)\quad & \text{on} Γ_D. By using the results in \cite{PSSW}, it follows that this viscous PDE problem has a unique solution, which is the unique {\it absolutely minimizing Lipschitz extension} to the whole $\barΩ$ (in the sense of \cite{Aronsson} and …
In this paper we use probabilistic arguments (Tug-of-War games) to obtain existence of viscosity solutions to a parabolic problem of the form $$ {cases} K_{(x,t)}(D u)u_t (x,t)= \frac12 <D^2 u J_{(x,t)}(D u),J_{(x,t)}(D u) (x,t) &{in} Ω_T, u(x,t)=F(x)&{on}Γ, {cases} $$ where $Ω_T=Ω\times(0,T]$ and $Γ$ is its parabolic boundary. This problem can be viewed as a version with spatial and time dependence of the evolution problem given by the infinity Laplacian, $ u_t (x,t)= <D^2 u (x,t) \frac{D u}{|Du|} (x,t),\, \frac{D u}{|Du|} (x,t)>$.
We show that a uniform measure density condition implies game regularity for all $2<p<\infty$ 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.
We study the double-obstacle problem for the p-Laplace operator, p 2 [2;1). We prove that for Lipschitz boundary data and Lipschitz obstacles, viscosity solutions are unique and coincide with variational solutions. They are also uniform limits of solutions to discrete min-max problems that can be interpreted as the dynamic programming principle for appropriate tug-ofwar games with noise. In these games, both players in addition to choosing their strategies, are also allowed to choose stopping times. The solutions to the double-obstacle problems are limits of values of these games, when the ste…
In this paper, we provide new results about an invariance of $p$-harmonic functions under boundary perturbations by using tug-of-war with noise; a probabilistic interpretation of $p$-harmonic functions introduced by Peres-Sheffield in \cite{ps}. As a main result, when $E\subset\bo $ is countable and $f\in C(\bo)$, we provide a necessary and sufficient condition for $E$ to guarantee that $H_g=H_f$ whenever $g=f$ on $\bo\setminus E$. Here $H_f$ and $H_g$ denote the Perron solutions of $f$ and $g$. It turns out that $E$ should be of $p$-harmonic measure zero with respect to $Ω$. As a consequence,…
We propose a new finite difference approximation to the Dirichlet problem for the homogeneous $\mathbf{p}$-Laplace equation posed on an $N$-dimensional domain, in connection with the Tug of War games with noise. Our game and the related mean-value expansion that we develop, superposes the ``deterministic averages'' ``$\frac{1}{2}(\inf +\sup)$'' taken over balls, with the ``stochastic averages'' ``$\fint$'', taken over $N$-dimensional ellipsoids whose aspect ratio depends on $N,\mathbf{p}$ and whose orientations span all directions while determining $\inf / \sup$. We show that the unique soluti…
Let $A_H$ be the Aronsson operator associated with a Hamiltonian $H(x,z,p).$ Aronsson operators arise from $L^\infty$ variational problems, two person game theory, control problems, etc. In this paper, we prove, under suitable conditions, that if $u\in W^{1,\infty}_{\rm loc}(Ω)$ is simultaneously a viscosity solution of both of the equations $A_H(u)=f(x)$ and $A_H(u)=g(x)$ in $Ω$, where $f, g\in C(Ω),$ then $f=g.$ The assumption $u\in W_{loc}^{1,\infty}(Ω)$ can be relaxed to $u\in C(Ω)$ in many interesting situations. Also, we prove that if $f,g,u\in C(Ω)$ and $u$ is simultaneously a viscosity…
We present a modified version of the two-player "tug-of-war" game introduced by Peres, Schramm, Sheffield, and Wilson. This new tug-of-war game is identical to the original except near the boundary of the domain $\partial Ω$, but its associated value functions are more regular. The dynamic programming principle implies that the value functions satisfy a certain finite difference equation. By studying this difference equation directly and adapting techniques from viscosity solution theory, we prove a number of new results. We show that the finite difference equation has unique maximal and minim…
We present a probabilistic approach to the obstacle problem for for the $p$-Laplace operator. The solutions are approximated by running processes determined by tug-of-war games plus noise, and letting the step size go to zero, not unlike the case when Brownian motion is approximated by random walks. Rather than stopping the process when the boundary is reached, the value function is obtained by maximizing over all possible stopping times that are smaller than the exit time of the domain.
In this manuscript we deal with regularity issues and the asymptotic behaviour (as $p \to \infty$) of solutions for elliptic free boundary problems of $p-$Laplacian type ($2 \leq p< \infty$): \begin{equation*} -Δ_p u(x) + λ_0(x)χ_{\{u>0\}}(x) = 0 \quad \mbox{in} \quad Ω\subset \mathbb{R}^N, \end{equation*} with a prescribed Dirichlet boundary data, where $λ_0>0$ is a bounded function and $Ω$ is a regular domain. First, we prove the convergence as $p\to \infty$ of any family of solutions $(u_p)_{p\geq 2}$, as well as we obtain the corresponding limit operator (in non-divergence form) ruling the…
We derive the weakly coupled systems of the infinity Laplace equations via a tug-of-war game introduced by Peres, Schramm, Sheffield, and Wilson (2009). We establish existence, uniqueness results of the solutions, and introduce a new notion of "generalized cones" for systems. By using "generalized cones" we analyze blow-up limits of solutions.
This paper concerns the fractional $p$-Laplace operator $Δ_p^s$ in non-divergence form, which has been introduced in [Bjorland, Caffarelli, Figalli (2012)]. For any $p\in [2,\infty)$ and $s\in (\frac{1}{2},1)$ we first define two families of non-local, non-linear averaging operators, parametrised by $ε$ and defined for all bounded, Borel functions $u:\mathbb{R}^N\to \mathbb{R}$. We prove that $Δ_p^s u(x)$ emerges as the $ε^{2s}$-order coefficient in the expansion of the deviation of each $ε$-average from the value $u(x)$, in the limit of the domain of averaging exhausting an appropriate cone i…
We develop an option pricing model based on a tug-of-war game. This two-player zero-sum stochastic differential game is formulated in the context of a multi-dimensional financial market. The issuer and the holder try to manipulate asset price processes in order to minimize and maximize the expected discounted reward. 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 parabolic partial differential equation involving the non-linear and completely degenerate infinity Laplace operator.
We introduce a new class of strongly degenerate nonlinear parabolic PDEs $$((p-2)Δ_{\infty,X}^N+Δ_X)u(X,Y,t)+(m+p)(X\cdot\nabla_Yu(X,Y,t)-\partial_tu(X,Y,t))=0,$$ $(X,Y,t)\in\mathbb R^m\times \mathbb R^m\times \mathbb R$, $p\in (1,\infty)$, combining the classical PDE of Kolmogorov and the normalized $p$-Laplace operator. We characterize solutions in terms of an asymptotic mean value property and the results are connected to the analysis of certain tug-of-war games with noise. The value functions for the games introduced approximate solutions to the stated PDE when the parameter that controls …
This is a preprint of Chapter 2 in the following work: Marta Lewicka, A Course on Tug-of-War Games with Random Noise, 2020, Springer, reproduced with permission of Springer Nature Switzerland AG. We present the basic relation between the linear potential theory and random walks. This fundamental connection, developed by Ito, Doob, Levy and others, relies on the observation that harmonic functions and martingales share a common cancellation property, expressed via mean value properties. It turns out that, with appropriate modifications, a similar observation and approach can be applied also in …
We give a proof of 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 Harnack's inequality for p-harmonic functions in the case $p>2$ that avoids classical techniques like Moser iteration, but instead relies on suitable choices of strategies for the stochastic tug-of-war game.
Fix a bounded domain Omega in R^d, a continuous function F on the boundary of Omega, and constants epsilon>0, p>1, and q>1 with p^{-1} + q^{-1} = 1. For each x in Omega, let u^epsilon(x) be the value for player I of the following two-player, zero-sum game. The initial game position is x. At each stage, a fair coin is tossed and the player who wins the toss chooses a vector v of length at most epsilon to add to the game position, after which a random ``noise vector'' with mean zero and variance (q/p)|v|^2 in each orthogonal direction is also added. The game ends when the game position reaches s…
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.
We prove that if U\subset\R^n is an open domain whose closure \overline{U} is compact in the path metric, and F is a Lipschitz function on \partial{U}, then for each β\in\R there exists a unique viscosity solution to the β-biased infinity Laplacian equation β|\nabla u| + Δ_\infty u=0 on U that extends F, where Δ_\infty u= |\nabla u|^{-2} \sum_{i,j} u_{x_i}u_{x_ix_j} u_{x_j}. In the proof, we extend the tug-of-war ideas of Peres, Schramm, Sheffield and Wilson, and define the β-biased \eps-game as follows. The starting position is x_0 \in U. At the k^\text{th} step the two players toss a suitabl…
We prove that every bounded Lipschitz function F on a subset Y of a length space X admits a tautest extension to X, i.e., a unique Lipschitz extension u for which Lip_U u = Lip_{boundary of U} u for all open subsets U of X that do not intersect Y. This was previously known only for bounded domains R^n, in which case u is infinity harmonic, that is, a viscosity solution to Delta_infty u = 0. We also prove the first general uniqueness results for Delta_infty u = g on bounded subsets of R^n (when g is uniformly continuous and bounded away from zero), and analogous results for bounded length space…
We give a self-contained and short proof for the existence, uniqueness and measurability of so called $p$-harmonious functions. The proofs only use elementary analytic tools. As a consequence, we obtain existence, uniqueness and measurability of value functions for the tug-of-war game with noise.
Nonlinear PDEs, mean value properties, and stochastic differential games are intrinsically connected. In this short expository note, we will describe how the solutions to certain PDEs (of $p$-Laplacian type) can be interpreted as limits of values of a specific Tug-of-War game, when the step-size $ε$ determining the allowed length of move of a token, decreases to $0$.
In this paper we study an evolution equation involving the normalized $p$-Laplacian and a bounded continuous source term. The normalized $p$-Laplacian is in non divergence form and arises for example from stochastic tug-of-war games with noise. We prove local $C^{α, \fracα{2}}$ regularity for the spatial gradient of the viscosity solutions. The proof is based on an improvement of flatness and proceeds by iteration.
We prove interior Hölder estimates for the spatial gradient of viscosity solutions to the parabolic homogeneous $p$-Laplacian equation \[ u_t=|\nabla u|^{2-p} \mbox{ div} (|\nabla u|^{p-2}\nabla u), \] where $1<p<\infty$. This equation arises from tug-of-war-like stochastic games with noise. It can also be considered as the parabolic $p$-Laplacian equation in non divergence form.
We give a self-contained and elementary proof for boundedness, existence, and uniqueness of solutions to dynamic programming principles (DPP) for biased tug-of-war games with running costs. The domain we work in is very general, and as a special case contains metric spaces. Technically, we introduce game-trees and show that a discretized flow converges uniformly, from which we obtain not only the existence, but also the uniqueness. Our arguments are entirely deterministic, and also do not rely on (semi-)continuity in any way; in particular, we do not need to mollify the DPP at the boundary for…
The Dirichlet problem $$ \begin{cases} Δ_{\infty}u-|Du|^2=0 \quad \text{on $Ω\subset \Rset ^n$} u|_{\partial Ω}=g \end{cases} $$ might have many solutions, where $Δ_{\infty}u=\sum_{1\leq i,j\leq n}u_{x_i}u_{x_j}u_{x_ix_j}$. In this paper, we prove that the maximal solution is the unique absolute minimizer for $H(p,z)={1\over 2}|p|^2-z$ from calculus of variations in $L^{\infty}$ and the minimal solution is the continuum value function from the "tug-of-war" game. We will also characterize graphes of solutions which are neither an absolute minimizer nor a value function. A remaining interesting …
In this paper we find viscosity solutions to a coupled system composed by two equations, the first one is parabolic and driven by the infinity Laplacian while the second one is elliptic and involves the usual Laplacian. We prove that there is a two-player zero-sum game played in two different boards with different rules in each board (in the first one we play a Tug-of-War game taking the number of plays into consideration and in the second board we move at random) whose value functions converge uniformly to a viscosity solution to the PDE system.
We introduce a new class of quasi-linear parabolic equations involving nonhomogeneous degeneracy or/and singularity $$ \partial_t u=[|D u|^q+a(x,t)|D u|^s]\left(Δu+(p-2)\left\langle D^2 u\frac{D u}{|D u|},\frac{D u}{|D u|}\right\rangle\right), $$ where $1<p<\infty$, $-1<q\leq s<\infty$ and $a(x,t)\ge 0$. The motivation to investigate this model stems not only from the connections to tug-of-war like stochastic games with noise, but also from the non-standard growth problems of double phase type. According to different values of $q,s$, such equations include nonhomogeneous degeneracy or singular…
Let $(Σ,g)$ be a compact Riemannian surface without boundary and $λ_1(Σ)$ be the first eigenvalue of the Laplace-Beltrami operator $Δ_g$. Let $h$ be a positive smooth function on $Σ$. Define a functional $$J_{α,β}(u)=\frac{1}{2}\int_Σ(|\nabla_gu|^2-αu^2)dv_g-β\log\int_Σhe^udv_g$$ on a function space $\mathcal{H}=\left\{u\in W^{1,2}(Σ): \int_Σudv_g=0\right\}$. If $α<λ_1(Σ)$ and $J_{α,8π}$ has no minimizer on $\mathcal{H}$, then we calculate the infimum of $J_{α,8π}$ on $\mathcal{H}$ by using the method of blow-up analysis. As a consequence, we give a sufficient condition under which a Kazdan-Wa…
