PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Manfred Denker.

Title:A stochastic differential game for the inhomogeneous infinity-Laplace equation
Seminar:Seminar on Probability and its Application
Speaker:Amarjit Budhiraja, University of North Carolina
Abstract:
A two-player zero-sum stochastic differential game, defined in terms of an m-dimensional state process that is driven by a one-dimensional Brownian motion, played until the state exits the domain, is studied. The players controls enter in a diffusion coefficient and in an unbounded drift coefficient of the state process. We show that the game has value, and characterize the value function as the unique viscosity solution of an inhomogeneous infinity Laplace equation. Joint work with R. Atar.

Room Reservation Information

Room Number:MB106
Date:10 / 22 / 2010
Time:02:30pm - 03:25pm