Tug-of-war with Kolmogorov

Abstract

We introduce a new class of strongly degenerate nonlinear parabolic PDEs((p−2)Δ∞,XN+ΔX)u(X,Y,t)+(m+p)(X⋅∇Yu(X,Y,t)−∂tu(X,Y,t))=0,(X,Y,t)∈Rm×Rm×R, p∈(1,∞), combining the classical PDE of Kolmogorov and the normalized p-Laplace operator. We characterize solutions in terms of an asymptotic mean value property and the results are connected to the analysis of certain tug-of-war games with noise. The value functions for the games introduced approximate solutions to the stated PDE when the parameter that controls the size of the possible steps goes to zero. Existence and uniqueness of viscosity solutions to the Dirichlet problem is established. The asymptotic mean value property, the associated games and the geometry underlying the Dirichlet problem, all reflect the family of dilation and the Lie group underlying operators of Kolmogorov type, and this makes our setting different from the context of standard parabolic dilations and Euclidean translations applicable in the context of the heat operator and the normalized parabolic infinity Laplace operator.