2023

Arroyo, Ángel; Blanc, Pablo; Parviainen, Mikko

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.