ترغب بنشر مسار تعليمي؟ اضغط هنا

A stochastic differential game for the inhomogeneous $infty$-Laplace equation

145   0   0.0 ( 0 )
 نشر من قبل Rami Atar
 تاريخ النشر 2010
  مجال البحث
والبحث باللغة English




اسأل ChatGPT حول البحث

Given a bounded $mathcaligr{C}^2$ domain $Gsubset{mathbb{R}}^m$, functions $ginmathcaligr{C}(partial G,{mathbb{R}})$ and $hinmathcaligr {C}(bar{G},{mathbb{R}}setminus{0})$, let $u$ denote the unique viscosity solution to the equation $-2Delta_{infty}u=h$ in $G$ with boundary data $g$. We provide a representation for $u$ as the value of a two-player zero-sum stochastic differential game.



قيم البحث

اقرأ أيضاً

In this paper we consider a class of {it conditional McKean-Vlasov SDEs} (CMVSDE for short). Such an SDE can be considered as an extended version of McKean-Vlasov SDEs with common noises, as well as the general version of the so-called {it conditiona l mean-field SDEs} (CMFSDE) studied previously by the authors [1, 14], but with some fundamental differences. In particular, due to the lack of compactness of the iterated conditional laws, the existing arguments of Schauders fixed point theorem do not seem to apply in this situation, and the heavy nonlinearity on the conditional laws caused by change of probability measure adds more technical subtleties. Under some structure assumptions on the coefficients of the observation equation, we prove the well-posedness of solution in the weak sense along a more direct approach. Our result is the first that deals with McKean-Vlasov type SDEs involving state-dependent conditional laws.
A two-player stochastic differential game representation has recently been obtained for solutions of the equation -Delta_infty u=h in a calC^2 domain with Dirichlet boundary condition, where h is continuous and takes values in RRsetminus{0}. Under ap propriate assumptions, including smoothness of u, the vanishing delta limit law of the state process, when both players play delta-optimally, is identified as a diffusion process with coefficients given explicitly in terms of derivatives of the function u.
171 - Ying Hu 2013
This paper is concerned with the switching game of a one-dimensional backward stochastic differential equation (BSDE). The associated Bellman-Isaacs equation is a system of matrix-valued BSDEs living in a special unbounded convex domain with reflecti on on the boundary along an oblique direction. In this paper, we show the existence of an adapted solution to this system of BSDEs with oblique reflection by the penalization method, the monotone convergence, and the a priori estimates.
This paper develops a fractional stochastic partial differential equation (SPDE) to model the evolution of a random tangent vector field on the unit sphere. The SPDE is governed by a fractional diffusion operator to model the L{e}vy-type behaviour of the spatial solution, a fractional derivative in time to depict the intermittency of its temporal solution, and is driven by vector-valued fractional Brownian motion on the unit sphere to characterize its temporal long-range dependence. The solution to the SPDE is presented in the form of the Karhunen-Lo`{e}ve expansion in terms of vector spherical harmonics. Its covariance matrix function is established as a tensor field on the unit sphere that is an expansion of Legendre tensor kernels. The variance of the increments and approximations to the solutions are studied and convergence rates of the approximation errors are given. It is demonstrated how these convergence rates depend on the decay of the power spectrum and variances of the fractional Brownian motion.
We study a stochastic SIS epidemic dynamics on network, under the effect of a Markovian regime-switching. We first prove the existence of a unique global positive solution, and find a positive invariant set for the system. Then, we find sufficient co nditions for a.s. extinction and stochastic permanence, showing also their relation with the stationary probability distribution of the Markov chain that governs the switching. We provide an asymptotic lower bound for the time average of the sample-path solution under the conditions ensuring stochastic permanence. From this bound, we are able to prove the existence of an invariant probability measure if the condition of stochastic permanence holds. Under a different condition, we prove the positive recurrence and the ergodicity of the regime-switching diffusion.
التعليقات
جاري جلب التعليقات جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
mircosoft-partner

هل ترغب بارسال اشعارات عن اخر التحديثات في شمرا-اكاديميا