JournalsaihpcVol. 35, No. 6pp. 1435–1456

Regularity for nonlinear stochastic games

  • Hannes Luiro

    Department of Mathematics and Statistics, University of Jyväskylä, PO Box 35, FI-40014 Jyväskylä, Finland

  • Mikko Parviainen

    Department of Mathematics and Statistics, University of Jyväskylä, PO Box 35, FI-40014 Jyväskylä, Finland
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Abstract

We establish regularity for functions satisfying a dynamic programming equation, which may arise for example from stochastic games or discretization schemes. Our results can also be utilized in obtaining regularity and existence results for the corresponding partial differential equations.

Cite this article

Hannes Luiro, Mikko Parviainen, Regularity for nonlinear stochastic games. Ann. Inst. H. Poincaré Anal. Non Linéaire 35 (2018), no. 6, pp. 1435–1456

DOI 10.1016/J.ANIHPC.2017.11.009