Asymptotic C1,γ-regularity for value functions to uniformly elliptic dynamic programming principles

In this paper we prove an asymptotic C 1 , γ -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 , γ -result for the corresponding...

Full description

Saved in:
Bibliographic Details
Published in:Mathematische annalen 2023, Vol.387 (3-4), p.1249-1270
Main Authors: Blanc, Pablo, Parviainen, Mikko, Rossi, Julio D.
Format: Article
Language:English
Subjects:
Asymptotic properties
Dynamic programming
Mathematics
Mathematics and Statistics
Principles
Stochastic processes
Citations: Items that this one cites
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:In this paper we prove an asymptotic C 1 , γ -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 , γ -result for the corresponding limit PDE.
ISSN:0025-5831
1432-1807
DOI:10.1007/s00208-022-02485-7