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

N. V. Krylov

doi:10.1016/j.spa.2014.09.002

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

N. V. Krylov

School of Mathematics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

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)
Pages (from-to)	254-271
Number of pages	18
Journal	Stochastic Processes and their Applications
Volume	125
Issue number	1
DOIs	https://doi.org/10.1016/j.spa.2014.09.002
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

Publisher link

10.1016/j.spa.2014.09.002

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title = "Approximating the value functions for stochastic differential games with the ones having bounded second derivatives",

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 = "Isaacs equation, Stochastic differential games, Value functions",

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KW - Isaacs equation

KW - Stochastic differential games

KW - Value functions

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IS - 1

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

Abstract

Bibliographical note

Keywords

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