Regularity for nonlinear stochastic games
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Abstract: 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.
Recommendations
- Regularity of Nash payoffs of Markovian nonzero-sum stochastic differential games
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- Local regularity results for value functions of tug-of-war with noise and running payoff
- Local regularity estimates for general discrete dynamic programming equations
- On nonlinear elliptic Bellman systems for a class of stochastic differential games in arbitrary dimension
Cites work
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Cited in
(26)- Sobolev regularity for first order mean field games
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- scientific article; zbMATH DE number 3843622 (Why is no real title available?)
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- scientific article; zbMATH DE number 7625188 (Why is no real title available?)
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- Connections between coupling and Ishii-Lions methods for tug-of-war with noise stochastic games
- Regularity and robustness in monotone Bayesian games
- Asymptotic Lipschitz regularity for tug-of-war games with varying probabilities
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