6533b821fe1ef96bd127b00a

RESEARCH PRODUCT

Regularity for nonlinear stochastic games

Hannes LuiroMikko Parviainen

subject

viscosity solutionsDiscretization01 natural sciencesMathematics - Analysis of PDEsBellman equationComputingMethodologies_SYMBOLICANDALGEBRAICMANIPULATIONFOS: MathematicsApplied mathematicstug-of-war0101 mathematicsMathematics - Optimization and ControlMathematical PhysicsMathematicsstokastiset prosessitPartial differential equationApplied Mathematics91A15 35J92 35B65 35J60 49N60010102 general mathematicsta111dynamic programming principletug-of-war with noise with space dependent probabilities010101 applied mathematicsNonlinear systemOptimization and Control (math.OC)p-LaplaceAnalysisAnalysis of PDEs (math.AP)

description

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. peerReviewed

yearjournalcountryeditionlanguage
2015-09-24
http://urn.fi/URN:NBN:fi:jyu-201809134117