Regularity for nonlinear stochastic games
Annales de l'I.H.P. Analyse non linéaire, Tome 35 (2018) no. 6, pp. 1435-1456.

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.

DOI : 10.1016/j.anihpc.2017.11.009
Classification : 91A15, 35J92, 35B65, 35J60, 49N60
Mots-clés : Dynamic programming principle, p-Laplace, Tug-of-war, Tug-of-war with noise with space dependent probabilities, Viscosity solutions 
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     title = {Regularity for nonlinear stochastic games},
     journal = {Annales de l'I.H.P. Analyse non lin\'eaire},
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Luiro, Hannes; Parviainen, Mikko. Regularity for nonlinear stochastic games. Annales de l'I.H.P. Analyse non linéaire, Tome 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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