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|
|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
|Date:||10 / 22 / 2010|
|Time:||02:30pm - 03:25pm|