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.
Original language | English (US) |
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Pages (from-to) | 254-271 |
Number of pages | 18 |
Journal | Stochastic Processes and their Applications |
Volume | 125 |
Issue number | 1 |
DOIs | |
State | Published - Jan 2015 |
Bibliographical note
Funding Information:The author was partially supported by NSF Grant DMS-1160569 .
Publisher Copyright:
© 2014 Elsevier B.V. All rights reserved.
Keywords
- Isaacs equation
- Stochastic differential games
- Value functions