On regularity properties and approximations of value functions for stochastic differential games in domains (Q465472): Difference between revisions
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Property / author: Nicolai V. Krylov / rank | |||
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A two-person zero-sum stochastic differential game with discounted cost till exit from a domain (possibly the whole space) and a state and control dependent discount factor is considered. Results ensuring its Lipschitz or local Lipschitz properties are presented, leading to the main result which shows that there exists a constant \(N\) depending only on the problem parameters such that for any \(K > 0\), the value function is uniformly approximated within \(N/K\) by the value function of a related stochastic differential game the running cost of which is modified in a \(K\)-dependent manner. For many cases of interest, the latter value function has second derivatives uniformly bounded by a constant times \(K\). | |||
Property / review text: A two-person zero-sum stochastic differential game with discounted cost till exit from a domain (possibly the whole space) and a state and control dependent discount factor is considered. Results ensuring its Lipschitz or local Lipschitz properties are presented, leading to the main result which shows that there exists a constant \(N\) depending only on the problem parameters such that for any \(K > 0\), the value function is uniformly approximated within \(N/K\) by the value function of a related stochastic differential game the running cost of which is modified in a \(K\)-dependent manner. For many cases of interest, the latter value function has second derivatives uniformly bounded by a constant times \(K\). / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91A23 / rank | |||
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Property / Mathematics Subject Classification ID: 91A15 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91A05 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 35J60 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 49N70 / rank | |||
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Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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Property / zbMATH DE Number: 6363042 / rank | |||
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Property / zbMATH Keywords | |||
stochastic differential game | |||
Property / zbMATH Keywords: stochastic differential game / rank | |||
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Property / zbMATH Keywords | |||
two-person game | |||
Property / zbMATH Keywords: two-person game / rank | |||
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value function | |||
Property / zbMATH Keywords: value function / rank | |||
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Isaacs equation | |||
Property / zbMATH Keywords: Isaacs equation / rank | |||
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Property / author | |||
Property / author: Nicolai V. Krylov / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / arXiv ID | |||
Property / arXiv ID: 1207.3758 / rank | |||
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Latest revision as of 05:23, 9 July 2024
scientific article
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English | On regularity properties and approximations of value functions for stochastic differential games in domains |
scientific article |
Statements
On regularity properties and approximations of value functions for stochastic differential games in domains (English)
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31 October 2014
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A two-person zero-sum stochastic differential game with discounted cost till exit from a domain (possibly the whole space) and a state and control dependent discount factor is considered. Results ensuring its Lipschitz or local Lipschitz properties are presented, leading to the main result which shows that there exists a constant \(N\) depending only on the problem parameters such that for any \(K > 0\), the value function is uniformly approximated within \(N/K\) by the value function of a related stochastic differential game the running cost of which is modified in a \(K\)-dependent manner. For many cases of interest, the latter value function has second derivatives uniformly bounded by a constant times \(K\).
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stochastic differential game
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two-person game
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value function
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Isaacs equation
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