A finite difference approach to the infinity Laplace equation and tug-of-war games

TL;DR

This paper introduces a modified tug-of-war game and analyzes its value functions, establishing their convergence to solutions of the infinity Laplace equation and providing new existence and uniqueness results for these solutions.

Contribution

It develops a finite difference approach to the infinity Laplace equation via a modified tug-of-war game, proving new existence, uniqueness, and stability results.

Findings

Unique maximal and minimal solutions for the finite difference equation.

Convergence of value functions to viscosity solutions of the infinity Laplace equation.

Existence and uniqueness of solutions for the Dirichlet problem with various payoff functions.

Abstract

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 $\partial \Omega$, 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 minimal solutions, which are identified as the value functions for the two tug-of-war players. We demonstrate uniqueness, and hence the existence of a value for the game, in the case that the running payoff function is nonnegative. We also show that uniqueness holds in certain cases for sign-changing running payoff functions which are sufficiently small. In the limit $\epsilon \to 0$, we obtain the convergence of the value functions to a viscosity solution of the normalized infinity Laplace equation. We also obtain several new results for the normalized infinity Laplace equation $-\Delta_\infty u = f$. In particular, we demonstrate the existence of solutions to the Dirichlet problem for any bounded continuous $f$, and continuous boundary data, as well as the uniqueness of solutions to this problem in the generic case. We present a new elementary proof of uniqueness in the case that $f>0$, $f< 0$, or $f\equiv 0$. The stability of the solutions with respect to $f$ is also studied, and an explicit continuous dependence estimate from $f\equiv 0$ is obtained.