Random Tug of War games for the p-Laplacian

Marta Lewicka
University of Pittsburgh
Wednesday, September 25, 2019 - 3:35pm to 4:25pm
Vincent Hall 570

We propose a new dynamic programming principle related to the Dirichlet problem for the homogeneous p-Laplace equation in connection with the Tug of War games with noise. We also discuss similar approximations in presence of the Robin boundary conditions. For the proofs, we use martingale techniques involving various couplings of random walks and yielding estimates on the involved probabilistic representations.