Regularity for nonlinear stochastic games

TL;DR

This paper proves regularity results for functions satisfying dynamic programming equations, which are relevant for stochastic games and PDE discretizations, aiding in understanding their smoothness and existence properties.

Contribution

It introduces new regularity results for functions solving dynamic programming equations linked to stochastic games and PDE discretizations.

Findings

Establishes regularity for functions from dynamic programming equations.

Provides tools for analyzing PDEs related to stochastic games.

Enhances understanding of solution smoothness and existence.

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.