Approximating the value functions for stochastic differential games with the ones having bounded second derivatives

N.V. Krylov

Stochastic Processes and their Applications, 2015, vol. 125, issue 1, 254-271

Abstract: We show a method of uniform approximation of the value functions of uniformly nondegenerate stochastic differential games in smooth domains up to a constant over K with the ones having second-order derivatives bounded by a constant times K for any K≥1.

Keywords: Stochastic differential games; Isaacs equation; Value functions (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:125:y:2015:i:1:p:254-271

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DOI: 10.1016/j.spa.2014.09.002

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