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

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:125

Article

Krylov, N. V.

关键词: Stochastic differential games;    Isaacs equation;    Value functions;   

DOI  :  10.1016/j.spa.2014.09.002

来源: Elsevier

【 摘 要 】

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. (C) 2014 Elsevier B.V. All rights reserved.

【 授权许可】

Free