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.
Bibliographical noteFunding Information:
The author was partially supported by NSF Grant DMS-1160569 .
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- Isaacs equation
- Stochastic differential games
- Value functions