Regularity for nonlinear stochastic games

DOI10.1016/J.ANIHPC.2017.11.009MaRDI QIDQ1669636zbMATH OpenOpenAlexWikidataFDO

Authors Hannes Luiro, Mikko Parviainen

Publication date 3 September 2018

Published in Annales de l'Institut Henri Poincaré. Analyse Non Linéaire (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.07263, http://urn.fi/URN:NBN:fi:jyu-201809134117

zbMATH Keywords

viscosity solutionstug-of-wardynamic programming principle\(p\)-Laplacetug-of-war with noise with space dependent probabilities

Mathematics Subject Classification ID

Dynamic programming (90C39) Quasilinear elliptic equations with (p)-Laplacian (35J92) Stochastic games, stochastic differential games (91A15)

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

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• On nonlinear elliptic Bellman systems for a class of stochastic differential games in arbitrary dimension

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Cited in

(23)

• scientific article; zbMATH DE number 7625188 (Why is no real title available?)
• Lipschitz regularity of graph Laplacians on random data clouds
• Nonlinear asymptotic mean value characterizations of holomorphic functions
• Hölder regularity for stochastic processes with bounded and measurable increments
• Perturbation Theory of a Nonlinear Game of von Neumann
• Game-theoretic approach to Hölder regularity for PDEs involving eigenvalues of the Hessian
• The Robin mean value equation. II: Asymptotic Hölder regularity
• Hölder behavior of viscosity solutions of some fully nonlinear equations in the Heisenberg group
• Local regularity for time-dependent tug-of-war games with varying probabilities
• Time-dependent tug-of-war games and normalized parabolic p-Laplace equations
• An application of the theorem on sums to viscosity solutions of degenerate fully nonlinear equations
• scientific article; zbMATH DE number 3843622 (Why is no real title available?)
• Convergence of dynamic programming principles for the \(p\)-Laplacian
• Regularity and robustness in monotone Bayesian games
• Sobolev regularity for first order mean field games
• Variational \(p\)-harmonious functions: existence and convergence to \(p\)-harmonic functions
• Asymptotic regularity for a random walk over ellipsoids
• Asymptotic Hölder regularity for the ellipsoid process
• Asymptotic \(C^{1,\gamma}\)-regularity for value functions to uniformly elliptic dynamic programming principles
• Asymptotic Lipschitz regularity for tug-of-war games with varying probabilities
• Local regularity estimates for general discrete dynamic programming equations
• Gradient and Lipschitz estimates for tug-of-war-type games
• Local Lipschitz regularity for functions satisfying a time-dependent dynamic programming principle

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