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...

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Published in:Mathematische annalen 2023, Vol.387 (3-4), p.1249-1270
Main Authors: Blanc, Pablo, Parviainen, Mikko, Rossi, Julio D.
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Language:English
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Asymptotic properties
Dynamic programming
Mathematics
Mathematics and Statistics
Principles
Stochastic processes
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description 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.
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subjects Asymptotic properties
Dynamic programming
Mathematics
Mathematics and Statistics
Principles
Stochastic processes
title Asymptotic C1,γ-regularity for value functions to uniformly elliptic dynamic programming principles
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