Asymptotic Lipschitz regularity for tug-of-war games with varying\n probabilities

2018/06/28 by Ángel Arroyo, Arroyo, Ángel, Hannes Luiro +5 · 1 citation
Economics, Econometrics and Finance · Decision Sciences · #Stochastic processes and financial applications #Game Theory and Voting Systems #Probability and Risk Models

paper · pdf · doi:10.48550/arxiv.1806.10838

Abstract

We prove an asymptotic Lipschitz estimate for value functions of tug-of-war\ngames with varying probabilities defined in \Ω\⊂ mathbb Rⁿ. The\nmethod of the proof is based on a game-theoretic idea to estimate the value of\na related game defined in \Ω\× \Ω via couplings.\n

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