Regularity for nonlinear stochastic games
Analysis of PDEs
2016-08-12 v2 Optimization and Control
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
@article{arxiv.1509.07263,
title = {Regularity for nonlinear stochastic games},
author = {Hannes Luiro and Mikko Parviainen},
journal= {arXiv preprint arXiv:1509.07263},
year = {2016}
}