Non-Local Tug-of-War and the Infinity Fractional Laplacian (1011.1966v2)

Abstract: Motivated by the "tug-of-war" game studied in [12], we consider a "non-local" version of the game which goes as follows: at every step two players pick respectively a direction and then, instead of flipping a coin in order to decide which direction to choose and then moving of a fixed amount $\epsilon>0$ (as is done in the classical case), it is a $s$-stable Levy process which chooses at the same time both the direction and the distance to travel. Starting from this game, we heuristically we derive a deterministic non-local integro-differential equation that we call "infinity fractional Laplacian". We study existence, uniqueness, and regularity, both for the Dirichlet problem and for a double obstacle problem, both problems having a natural interpretation as "tug-of-war" games.