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arXiv · 2206.09001

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

Pablo Blanc·Mikko Parviainen·Julio D. Rossi
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Abstract

In this paper we prove an asymptotic $C^{1,\gamma}$-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 $C^{1,\gamma}$-result for the corresponding limit PDE.

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Pablo Blanc, Mikko Parviainen, Julio D. Rossi. 2022-06-17. Asymptotic $C^{1,\gamma}$-regularity for value functions to uniformly elliptic dynamic programming principles. https://arxiv.org/abs/2206.09001

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