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math.AP2019
Asymptotic Hölder Regularity for the Ellipsoid Process
Ángel Arroyo, Mikko Parviainen
We obtain an asymptotic Hölder estimate for functions satisfying a dynamic programming principle arising from a so-called ellipsoid process. By the ellipsoid process we mean a gene…
math.AP2019
Gradient and Lipschitz estimates for tug-of-war type games
Amal Attouchi, Hannes Luiro, Mikko Parviainen
We define a random step size tug-of-war game, and show that the gradient of a value function exists almost everywhere. We also prove that the gradients of value functions are unifo…