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)|
|Number of pages||18|
|Journal||Stochastic Processes and their Applications|
|State||Published - Jan 2015|
Bibliographical noteFunding Information:
The author was partially supported by NSF Grant DMS-1160569 .
© 2014 Elsevier B.V. All rights reserved.
- Isaacs equation
- Stochastic differential games
- Value functions