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

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.

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Year of publication:	2015
Authors:	Krylov, N.V.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 1, p. 254-271
Publisher:	Elsevier
Subject:	Stochastic differential games \| Isaacs equation \| Value functions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011077898