Approximating the value functions for stochastic differential games with the ones having bounded second derivatives
Probability
2014-04-14 v1
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 with the ones having second-order derivatives bounded by a constant times for any
Keywords
Cite
@article{arxiv.1404.2974,
title = {Approximating the value functions for stochastic differential games with the ones having bounded second derivatives},
author = {N. V. Krylov},
journal= {arXiv preprint arXiv:1404.2974},
year = {2014}
}
Comments
17 pages