Game-theoretic approach to Hölder regularity for PDEs involving eigenvalues of the Hessian
We prove a local Hölder estimate with an exponent $0<δ<\frac 12$ for solutions of the dynamic programming principle $$u^\varepsilon (x) =\sum_{j=1}^n α_j\inf_{\dim(S)=j}\sup_{\substack{v\in S\\ |v|=1}}\frac{ u^\varepsilon (x + \varepsilon v) + u^\varepsilon (x - \varepsilon v)}{2}.$$ The proof is based on a new coupling idea from game theory. As an application, we get the same regularity estimate for viscosity solutions of the PDE $$\sum_{i=1}^n α_iλ_i(D^2u)=0,$$ where $λ_1(D^2 u)\leq\cdots\leq λ_n(D^2 u)$ are the eigenvalues of the Hessian.