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RESEARCH PRODUCT

Asymptotic $C^{1,γ}$-regularity for value functions to uniformly elliptic dynamic programming principles

Pablo BlancMikko ParviainenJulio D. Rossi

subject

osittaisdifferentiaaliyhtälötProbability (math.PR)FOS: Mathematicspeliteoriastokastiset prosessitAnalysis of PDEs (math.AP)

description

In this paper we prove an asymptotic C1,γ-estimate for value functions of stochastic processes related to uniformly elliptic dynamic programming principles. As an application, this allows us to pass to the limit with a discrete gradient and then to obtain a C1,γ-result for the corresponding limit PDE. peerReviewed

yearjournalcountryeditionlanguage
2022-01-01
https://dx.doi.org/10.48550/arxiv.2206.09001