Accession Number:

AD0783698

Title:

Fleming's Randomized Game and His Parabolic Partial Differential Equation,

Descriptive Note:

Corporate Author:

CALIFORNIA UNIV BERKELEY ELECTRONICS RESEARCH LAB

Personal Author(s):

Report Date:

1974-04-01

Pagination or Media Count:

156.0

Abstract:

Proceeding from first principles and making no use of existing partial differential equations PDE theory, the paper gives a direct and elementary proof that the value of Wendell Flemings 1964 randomized mixed-strategy game exists and satisfies his parabolic PDE. Fleming required the terminal function to have Lipschitzian first and second partial derivatives this paper requires only that the terminal function and its gradient be Lipschitzian. The solution is given a new representation, which allows precise Lipschitz and Holder estimates to be made. A trick of Fleming allows the deduction of a uniqueness and existence theorem for a class of parabolic equations with Laplacian operator under the lightened terminal conditions. Author

Subject Categories:

  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE