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.
Keywords: Dynamic programming principle, p-Laplace, Tug-of-war, Tug-of-war with noise with space dependent probabilities, Viscosity solutions
@article{AIHPC_2018__35_6_1435_0, author = {Luiro, Hannes and Parviainen, Mikko}, title = {Regularity for nonlinear stochastic games}, journal = {Annales de l'I.H.P. Analyse non lin\'eaire}, pages = {1435--1456}, publisher = {Elsevier}, volume = {35}, number = {6}, year = {2018}, doi = {10.1016/j.anihpc.2017.11.009}, mrnumber = {3846232}, zbl = {1398.91058}, language = {en}, url = {http://archive.numdam.org/articles/10.1016/j.anihpc.2017.11.009/} }
TY - JOUR AU - Luiro, Hannes AU - Parviainen, Mikko TI - Regularity for nonlinear stochastic games JO - Annales de l'I.H.P. Analyse non linéaire PY - 2018 SP - 1435 EP - 1456 VL - 35 IS - 6 PB - Elsevier UR - http://archive.numdam.org/articles/10.1016/j.anihpc.2017.11.009/ DO - 10.1016/j.anihpc.2017.11.009 LA - en ID - AIHPC_2018__35_6_1435_0 ER -
%0 Journal Article %A Luiro, Hannes %A Parviainen, Mikko %T Regularity for nonlinear stochastic games %J Annales de l'I.H.P. Analyse non linéaire %D 2018 %P 1435-1456 %V 35 %N 6 %I Elsevier %U http://archive.numdam.org/articles/10.1016/j.anihpc.2017.11.009/ %R 10.1016/j.anihpc.2017.11.009 %G en %F AIHPC_2018__35_6_1435_0
Luiro, Hannes; Parviainen, Mikko. Regularity for nonlinear stochastic games. Annales de l'I.H.P. Analyse non linéaire, Volume 35 (2018) no. 6, pp. 1435-1456. doi : 10.1016/j.anihpc.2017.11.009. http://archive.numdam.org/articles/10.1016/j.anihpc.2017.11.009/
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