On regularity properties and approximations of value functions for stochastic differential games in domains

Abstract

We prove that for any constant $K\geq1$, the value functions for time homogeneous stochastic differential games in the whole space can be approximated up to a constant over $K$ by value functions whose second-order derivatives are bounded by a constant times $K$.

On the way of proving this result we prove that the value functions for stochastic differential games in domains and in the whole space admit estimates of their Lipschitz constants in a variety of settings.