Hölder regularity for stochastic processes with bounded and measurable increments

Arroyo, Ángel; Blanc, Pablo; Parviainen, Mikko

doi:10.4171/aihpc/41

dc.contributor.author	Arroyo, Ángel
dc.contributor.author	Blanc, Pablo
dc.contributor.author	Parviainen, Mikko
dc.date.accessioned	2023-03-13T08:09:23Z
dc.date.available	2023-03-13T08:09:23Z
dc.date.issued	2023
dc.identifier.citation	Arroyo, Á., Blanc, P., & Parviainen, M. (2023). Hölder regularity for stochastic processes with bounded and measurable increments. <i>Annales de l’Institut Henri Poincaré : Analyse Non Linéaire</i>, <i>40</i>(1), 215-258. <a href="https://doi.org/10.4171/aihpc/41" target="_blank">https://doi.org/10.4171/aihpc/41</a>
dc.identifier.other	CONVID_148889823
dc.identifier.uri	https://jyx.jyu.fi/handle/123456789/85973
dc.description.abstract	We obtain an asymptotic Hölder estimate for expectations of a quite general class of discrete stochastic processes. Such expectations can also be described as solutions to a dynamic programming principle or as solutions to discretized PDEs. The result, which is also generalized to functions satisfying Pucci-type inequalities for discrete extremal operators, is a counterpart to the Krylov–Safonov regularity result in PDEs. However, the discrete step size ε has some crucial effects compared to the PDE setting. The proof combines analytic and probabilistic arguments.	en
dc.format.mimetype	application/pdf
dc.language.iso	eng
dc.publisher	European Mathematical Society - EMS - Publishing House GmbH
dc.relation.ispartofseries	Annales de l’Institut Henri Poincaré : Analyse Non Linéaire
dc.rights	CC BY 4.0
dc.subject.other	dynamic programming principle
dc.subject.other	local Hölder estimates
dc.subject.other	stochastic process
dc.subject.other	equations in nondivergence form
dc.subject.other	p-harmonious
dc.subject.other	p-Laplace
dc.subject.other	tug-of-war games
dc.title	Hölder regularity for stochastic processes with bounded and measurable increments
dc.type	article
dc.identifier.urn	URN:NBN:fi:jyu-202303132128
dc.contributor.laitos	Matematiikan ja tilastotieteen laitos	fi
dc.contributor.laitos	Department of Mathematics and Statistics	en
dc.contributor.oppiaine	Matematiikka	fi
dc.contributor.oppiaine	Analyysin ja dynamiikan tutkimuksen huippuyksikkö	fi
dc.contributor.oppiaine	Mathematics	en
dc.contributor.oppiaine	Analysis and Dynamics Research (Centre of Excellence)	en
dc.type.uri	http://purl.org/eprint/type/JournalArticle
dc.type.coar	http://purl.org/coar/resource_type/c_2df8fbb1
dc.description.reviewstatus	peerReviewed
dc.format.pagerange	215-258
dc.relation.issn	0294-1449
dc.relation.numberinseries	1
dc.relation.volume	40
dc.type.version	publishedVersion
dc.rights.copyright	© Association Publications de l'Institut Henri Poincaré Paris
dc.rights.accesslevel	openAccess	fi
dc.relation.grantnumber	298641
dc.subject.yso	matematiikka
dc.subject.yso	todennäköisyyslaskenta
dc.subject.yso	stokastiset prosessit
dc.format.content	fulltext
jyx.subject.uri	http://www.yso.fi/onto/yso/p3160
jyx.subject.uri	http://www.yso.fi/onto/yso/p4746
jyx.subject.uri	http://www.yso.fi/onto/yso/p11400
dc.rights.url	https://creativecommons.org/licenses/by/4.0/
dc.relation.doi	10.4171/aihpc/41
dc.relation.funder	Research Council of Finland	en
dc.relation.funder	Suomen Akatemia	fi
jyx.fundingprogram	Academy Project, AoF	en
jyx.fundingprogram	Akatemiahanke, SA	fi
jyx.fundinginformation	A. A. is partially supported by a UniGe starting grant “curiosity driven” and grants MTM2017-85666-P, 2017 SGR 395. B. P. and M. P. are partially supported by the Academy of Finland project #298641.
dc.type.okm	A1