Approximating the value functions for stochastic differential games with the ones having bounded second derivatives

N. V. Krylov

Published 2014-04-11Version 1

We show a method of uniform approximation of the value functions of uniformly nondegenerate stochastic differential games in smooth domains up to a constant over $K$ with the ones having second-order derivatives bounded by a constant times $K$ for any $K\geq1$