Regularity for nonlinear stochastic games

2015/09/24 by Luiro, Hannes, Parviainen, Mikko · 1 citation
#35B65 #35J60 #35J92 #49N60 #91A15 #Analysis of PDEs (math.AP) #FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.1509.07263

Abstract

We establish regularity for functions satisfying a dynamic programming equation, which may arise for example from stochastic games or discretization schemes. Our results can also be utilized in obtaining regularity and existence results for the corresponding partial differential equations.

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