Local regularity for time-dependent tug-of-war games with varying probabilities

Abstract

We study local regularity properties of value functions of time-dependent tug-of-war games. For games with constant probabilities we get local Lipschitz continuity. For more general games with probabilities depending on space and time we obtain Hölder and Harnack estimates. The games have a connection to the normalized $p(x,t)$-parabolic equation $(n+p(x,t))u_t=\Delta u+(p(x,t)-2){\Delta }_{\infty }^{N}u$.

arXiv comment38 pages