Approximating the value functions for stochastic differential games with the ones having bounded second derivatives

N. V. Krylov

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arXiv · 1404.2974

Approximating the value functions for stochastic differential games with the ones having bounded second derivatives

N. V. Krylov

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Abstract

We show a method of uniform approximation of the value functions of uniformly nondegenerate stochastic differential games in smooth domains up to a constant over $K$ with the ones having second-order derivatives bounded by a constant times $K$ for any $K\geq1$

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N. V. Krylov. 2014-04-11. Approximating the value functions for stochastic differential games with the ones having bounded second derivatives. https://arxiv.org/abs/1404.2974

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