M. Arisawa
We establish the comparison principle and the existence of solutions of the integro-differential equations with L{é}vy operators. The L{é}vy operators of our interest are infinitesmal generator of the jump processes which could be degenerate and may depend on the gradient of the solutions.
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We investigate stochastic differential equations with jumps and irregular coefficients, and obtain the existence and uniqueness of generalized stochastic flows. Moreover, we also prove the existence and uniqueness of $L^p$-solutions or measure-valued solutions for second order integro-differential equation of Fokker-Planck type.
The existence and uniqueness in fractional Sobolev spaces of the Cauchy problem to a stochastic parabolic integro-differential equation is investigated. A model problem with coefficients independent of space variable is considered. The equation arises, for example, in a filtering problem with a jump signal and jump observation process.
We extend the notion of viscosity solutions for path-dependent PDEs introduced by Ekren et al. [Ann. Probab. 42 (2014), no. 1, 204-236] to path-dependent integro-differential equations and establish well-posedness, i.e., existence, uniqueness, and stability, for a class of semilinear path-dependent integro-differential equations with uniformly continuous data. Closely related are non-Markovian backward SDEs with jumps, which provide a probabilistic representation for solutions of our equations. The results are potentially useful for applications using non-Markovian jump-diffusion models.
A class of (possibly) degenerate stochastic integro-differential equations of parabolic type is considered, which includes the Zakai equation in nonlinear filtering for jump diffusions. Existence and uniqueness of the solutions are established in Bessel potential spaces.
This paper is concerned with semiconcavity of viscosity solutions for a class of degenerate elliptic integro-differential equations in $\mathbb R^n$. This class of equations includes Bellman equations containing operators of Lévy-Itô type. Hölder and Lipschitz continuity of viscosity solutions for a more general class of degenerate elliptic integro-differential equations are also provided.
We survey the recent development of the DeGiorgi-Nash-Moser-Aronson type theory for a class of symmetric jump processes(or equivalently, a class of symmetric integro-differential operators). We focus on the sharp two-sided estimates for the transition density functions (or heat kernels) of the processes, a priori Holder estimate and parabolic Harnack inequalities for their parabolic functions. In contrast to the second order elliptic differential operator case, the methods to establish these properties for symmetric integro-differential operators are mainly probabilistic.
A class of (possibly) degenerate integro-differential equations of parabolic type is considered, which includes the Kolmogorov equations for jump diffusions. Existence and uniqueness of the solutions are established in Bessel potential spaces and in Sobolev-Slobodeckij spaces. Generalisations to stochastic integro-differential equations, arising in filtering theory of jump diffusions, will be given in a forthcoming paper.
We study quasilinear evolutionary partial integro-differential equations of second order which include time fractional $p$-Laplace equations of time order less than one. By means of suitable energy estimates and De Giorgi's iteration technique we establish results asserting the global boundedness of appropriately defined weak solutions of these problems. We also show that a maximum principle is valid for such equations.
Parabolic integro-differential non degenerate Cauchy problem is considered in the scale of Hölder spaces of functions whose regularity is defined by a radially O-regularly varying Lévy measure. Existence and uniqueness and the estimates of the solution are derived.
We prove existence of a bounded weak solution to a degenerate quasilinear subdiffusion problem with bounded measurable coefficients that may explicitly depend on time. The kernel in the involved integro-differential operator w.r.t. time belongs to the large class of ${\cal PC}$ kernels. In particular, the case of a fractional time derivative of order less than 1 is included. A key ingredient in the proof is a new compactness criterion of Aubin-Lions type which involves function spaces defined in terms of the integro-differential operator in time. Boundedness of the solution is obtained by the …
High-dimensional parabolic partial integro-differential equations (PIDEs) appear in many applications in insurance and finance. Existing numerical methods suffer from the curse of dimensionality or provide solutions only for a given space-time point. This gave rise to a growing literature on deep learning based methods for solving partial differential equations; results for integro-differential equations on the other hand are scarce. In this paper we consider an extension of the deep splitting scheme due to Beck, Becker, Cheridito, Jentzen, Neufeld (2021) and Germain, Pham, Warin (2022) to PID…
Viscosity solution of system of integro-partial differential equations with interconnected obstacles of non-local type without Monotonicity Conditions
本文在去除生成元关于跳跃分量的单调性条件后，利用带跳跃和互联障碍的反射倒向随机微分方程，构造并证明了非局部型互联障碍积分-偏微分方程组在多项式增长函数类中唯一的连续粘性解。
We consider periodic homogenization problems for the L{é}vy operators with asymmetric L{é}vy densities. The formal asymptotic expansion used for the $\a$-stable (symmetric) L{é}vy operators ($\a\in (0,2)$) is not applicable directly to such asymmetric cases. We rescale the asymmetric densities, extract the most singular part of the measures, which average out the microscopic dependences in the homogenization procedures. We give two conditions (A) and (B), which characterize such a class of asymmetric densities, that the above "rescaled" homogenization is available.
Regularity of solutions for degenerate or singular fully nonlinear integro-differential equations
本文研究一类退化或奇异完全非线性积分微分方程解的正则性，分别在退化和奇异情形下建立了边界正则性、Schauder型更高正则性及梯度Hölder连续性，结果在a(x)≡0时也具新颖性，并可推广至退化非局部归一化p-Laplacian方程。
Difference-quadrature schemes for nonlinear degenerate parabolic integro-PDE
针对受控Levy（跳-扩散）过程的Bellman方程，提出并分析了单调差分-求积格式，该方程是完全非线性、退化抛物型积分-偏微分方程，在粘性解意义下理解；通过新的“直接”离散非局部部分处理奇异Levy测度，并发展了积分-偏微分方程近似解误差估计的新一般理论。
We prove the existence and uniqueness of solutions of degenerate linear stochastic evolution equations driven by jump processes in a Hilbert scale using the variational framework of stochastic evolution equations and the method of vanishing viscosity. As an application of this result, we derive the existence and uniqueness of solutions of degenerate parabolic linear stochastic integro-differential equations (SIDEs) in the Sobolev scale. The SIDEs that we consider arise in the theory of non-linear filtering as the equations governing the conditional density of a degenerate jump-diffusion signal…
We consider nonlinear integro-differential equations, like the ones that arise from stochastic control problems with purely jump Lèvy processes. We obtain a nonlocal version of the ABP estimate, Harnack inequality, and interior $C^{1,α}$ regularity for general fully nonlinear integro-differential equations. Our estimates remain uniform as the degree of the equation approaches two, so they can be seen as a natural extension of the regularity theory for elliptic partial differential equations.
We investigate the regularity of the solutions for a class of degenerate/singular fully nonlinear nonlocal equations. In the degenerate scenario, we establish that there exists at least one viscosity solution of class $C_{loc}^{1, α}$, for some constant $α\in (0, 1)$. In addition, under suitable conditions on $σ$, we prove regularity estimates in Hölder spaces for any viscosity solution. We also examine the singular setting and prove Hölder regularity estimates for the gradient of the solutions.
A Strict Comparison Principle for Integro-Differential Hamilton-Jacobi-Bellman Equations on Domains with Boundary
本文提出了一种适用于具有边界的积分-微分Hamilton-Jacobi-Bellman方程的严格比较原理，通过测试函数框架处理扩散和跳跃项，并应用于具有角落的空间上的抛物和椭圆问题。
In this paper we study interior potential-theoretic properties of purely discontinuous Markov processes in proper open subsets $D\subset \mathbb{R}^d$. The jump kernels of the processes may be degenerate at the boundary in the sense that they may vanish or blow up at the boundary. Under certain natural conditions on the jump kernel, we show that the scale invariant Harnack inequality holds for any proper open subset $D\subset \mathbb{R}^d$ and prove some interior regularity of harmonic functions. We also prove a Dynkin-type formula and several other interior results.
Estimates on the asymptotic behaviour of solution to linear integro-differential equations are fundamental in understanding the dynamics occuring in many nonlocal evolution problems. They are usually derived by using precise decay estimates on the heat kernel of the considered diffusion process. In this note, we show that for some generic jump diffusion and particular initial data, one can derive a lower bound of the asymptotic behaviour of the solution using a simple PDE argument. This is viewed as an independant preliminary brick to study invasion phenomena in nonlinear reaction diffusion pr…
We obtain an existence and uniqueness theorem for fully coupled forward-backward SDEs (FBSDEs) with jumps via the classical solution to the associated quasilinear parabolic partial integro-differential equation (PIDE), and provide the explicit form of the FBSDE solution. Moreover, we embed the associated PIDE into a suitable class of non-local quasilinear parabolic PDEs which allows us to extend the methodology of Ladyzhenskaya et al (1968) to non-local PDEs of this class. Namely, we obtain the existence and uniqueness of a classical solution to both the Cauchy problem and the initial-boundary…
We investigate the obstacle problem for a class of nonlinear equations driven by nonlocal, possibly degenerate, integro-differential operators, whose model is the fractional $p$-Laplacian operator with measurable coefficients. Amongst other results, we will prove both the existence and uniqueness of the solutions to the obstacle problem, and that these solutions inherit regularity properties, such as boundedness, continuity and Hölder continuity (up to the boundary), from the obstacle.
Ergodicity for the fractional Magneto-Hydrodynamic equations driven by a degenerate pure jump noise
本文研究了由高度退化纯跳跃 Lévy 噪声驱动的随机 2D 分数阶磁流体动力学方程的遍历性，针对噪声仅作用于四个方向的高退化情形，结合 Malliavin 变分法证明半群 e-property 与弱不可约性，确立了不变测度的唯一性。
A general and sharp regularity condition for integro-differential equations with non-dominated measures
本文提出用 Young 函数替代幂函数，为积分微分算子建立更一般的尖锐正则性条件，以保证支配原理和比较原理，并应用于抛物型 HJB 算子及带跳的正倒向随机微分方程。
We introduce (integro-differential) harmonic maps into spheres, which are defined as critical points of the Besov-Slobodeckij energy $\int\limits_Ω\int\limits_Ω \frac{|v(x)-v(y)|^{p_s}}{|x-y|^{n+sp_s}}\ dx\ dy$. For $p_s = 2$ these are the classical fractional harmonic maps first considered by Da Lio and Riviere. For $p_s \neq 2$ this is a new energy which has degenerate, non-local Euler-Lagrange equations. For the critical case, $p_s = n/s$, we show Holder continuity of these maps.
Finite element scheme for integro-partial differential equations
针对跳过程最优控制中的完全非线性积分-偏微分方程，构造了单调且鲁棒的有限元格式，并证明了在退化、多维、低正则性及多种跳模型下的收敛性与最优误差界。
In this paper, we establish a new uniqueness result of a (continuous) viscosity solution for some integro-partial differential equation (IPDE in short). The novelty is that we relax the so-called monotonicity assumption on the driver, assumption which is classically assumed in the literature of viscosity solution of equation with a non local term. Our method strongly relies on the link between IPDEs and backward stochastic differential equations (BSDEs in short) with jumps for which we already know that the solution exists and is unique. In the second part of the paper, we deal with the IPDE w…
We consider the degenerate Einstein's Brownian motion model for the case when the time interval ($τ$) of particle Jumps before collision (free jumps) reciprocal to the number of particles per unit volume $u(x,t) > 0$ at the point of observation $x$ at time $t$. The parameter $0 < τ\leq C < \infty$, controls characteristic of the fluid "almost decreases" to $ 0 $ when $u \rightarrow \infty$. This degeneration leads to the localisation of the spread of particle propagation in the media. In our report we will present a structural condition of the time interval of free jumps - $τ$ and the frequenc…
A Deep BSDE approximation of nonlinear integro-PDEs with unbounded nonlocal operators
针对带无界非局部算子的高维非线性积分偏微分方程，提出基于正倒向随机微分方程表示的深度BSDE求解格式，结合小跳高斯近似、正向模拟与倒向神经网络回归，证明其在无限活动场景下的收敛性，规避维数灾难。
We establish new Hoelder and Lipschitz estimates for viscosity solutions of a large class of elliptic and parabolic nonlinear integro-differential equations, by the classical Ishii-Lions's method. We thus extend the Hoelder regularity results recently obtained by Barles, Chasseigne and Imbert (2011). In addition, we deal with a new class of nonlocal equations that we term mixed integro-differential equations. These equations are particularly interesting, as they are degenerate both in the local and nonlocal term, but their overall behavior is driven by the local-nonlocal interaction, e.g. the …
We deal with a class of equations driven by nonlocal, possibly degenerate, integro-differential operators of differentiability order $s\in (0,1)$ and summability growth $p>1$, whose model is the fractional $p$-Laplacian with measurable coefficients. We state and prove several results for the corresponding weak supersolutions, as comparison principles, a priori bounds, lower semicontinuity, and many others. We then discuss the good definition of $(s,p)$-superharmonic functions, by also proving some related properties. We finally introduce the nonlocal counterpart of the celebrated Perron method…
We introduce a new class of fully nonlinear integro-differential operators with possible nonsymmetric kernels, which includes the ones that arise from stochastic control problems with purely jump Lèvy processes. If the index of the operator $σ$ is in $ (1,2)$ (subcritical case), then we obtain a comparison principle, a nonlocal version of the Alexandroff-Backelman-Pucci estimate, a Harnack inequality, a Hölder regularity, and an interior $\rm C^{1,α}$-regularity for fully nonlinear integro-differential equations associated with such a class. Moreover, our estimates remain uniform as the index …
In this paper, we guarantee the existence and uniqueness (in the almost everywhere sense) of the solution to a Hamilton-Jacobi-Bellman (HJB) equation with gradient constraint and a partial integro-differential operator whose Lévy measure has bounded variation. This type of equation arises in a singular control problem, where the state process is a multidimensional jump-diffusion with jumps of finite variation and infinite activity. We verify, by means of ε-penalized controls, that the value function associated with this problem satisfies the aforementioned HJB equation.
Propagation rates in integro-differential equations of ignition type
本文研究点火型积分-微分方程，在含可积卷积核与奇异分数型核的通用框架下，给出精确入侵速率，还获临界情形s=1/2下的首个精确传播估计，区分线性时间与加速 regime。
We study integrodifferential operators and regularity estimates for solutions to integrodifferential equations. Our emphasis is on kernels with a critically low singularity which does not allow for standard scaling. For example, we treat operators that have a logarithmic order of differentiability. For corresponding equations we prove a growth lemma and derive a priori estimates. We derive these estimates by classical methods developed for partial differential operators. Since the integrodifferential operators under consideration generate Markov jump processes, we are able to offer an alternat…
The Cahn-Hilliard equation with degenerate mobility is used in several areas including the modeling of living tissues. We are interested in quantifying the pressure jump at the interface in the case of incompressible flows. To do so, we include an external force and consider stationary radial solutions. This allows us to compute the pressure jump in the small dispersion regime. We also characterize compactly supported stationary solutions in the incompressible case, prove the incompressible limit and prove convergence of the parabolic problems to stationary states.
We provide here global Schauder-type estimates for a chain of integro-partial differential equations (IPDE) driven by a degenerate stable Ornstein-Uhlenbeck operator possibly perturbed by a deterministic drift, when the coefficients lie in some suitable anisotropic H{ö}lder spaces. Our approach mainly relies on a perturbative method based on forward parametrix expansions and, due to the low regularizing properties on the degenerate variables and to some integrability constraints linked to the stability index, it also exploits duality results between appropriate Besov Spaces. In particular, our…
Stochastic Homogenization for Some Nonlinear Integro-Differential Equations
针对一类具有振荡系数的非线性非局部椭圆型方程，将周期均匀化结果推广到随机平稳遍历情形，证明了有效方程的存在性及原方程解的收敛性。
The purpose of this paper is to analyze solutions of a non-local nonlinear partial integro-differential equation (PIDE) in multidimensional spaces. Such class of PIDE often arises in financial modeling. We employ the theory of abstract semilinear parabolic equations in order to prove existence and uniqueness of solutions in the scale of Bessel potential spaces. We consider a wide class of Lévy measures satisfying suitable growth conditions near the origin and infinity. The novelty of the paper is the generalization of already known results in the one space dimension to the multidimensional cas…
Anchored Nash inequalities and heat kernel bounds for a class of random conductance models with long-range jumps
研究一类含长程跳跃的随机电导模型，通过展示离散非局部散度形式算子的锚定纳什不等式，用非一致椭圆狄氏型控制函数\(L^{2}\)范数，进而给出对角热核上界，成果适用于包括整数格等的一类图。
A zero-sum differential game with controlled jump-diffusion driven state is considered, and studied using a combination of dynamic programming and viscosity solution techniques. We prove, under certain conditions, that the value of the game exists and is the unique viscosity solution of a fully nonlinear integro-partial differential equation. In addition, we formulate and prove a verification theorem for such games within the viscosity solution framework for nonlocal equations
We study a general class of discrete $p$-Laplace operators in the random conductance model with long-range jumps and ergodic weights. Using a variational formulation of the problem, we show that under the assumption of bounded first moments and a suitable lower moment condition on the weights, the homogenized limit operator is a fractional $p$-Laplace operator. Under strengthened lower moment conditions, we can apply our insights also to the spectral homogenization of the discrete Laplace operator to the continuous fractional Laplace operator.
Nonlinear Hardy-Stein type identities for harmonic functions relative to symmetric integro-differential operators
本文针对含局部与非局部分量的一般对称正则 Dirichlet 型积分–微分算子，建立调和函数及其凸复合、比值的非线性 Hardy–Stein 型恒等式，并用于 Hardy 空间范数刻画与平方函数估计。
In this paper, we provide suitable adaptations of the "weak version of Bernstein method" introduced by the first author in 1991, in order to obtain Lipschitz regularity results and Lipschitz estimates for nonlinear integro-differential elliptic and parabolic equations set in the whole space. Our interest is to obtain such Lipschitz results to possibly degenerate equations, or to equations which are indeed "uniformly el-liptic" (maybe in the nonlocal sense) but which do not satisfy the usual "growth condition" on the gradient term allowing to use (for example) the Ishii-Lions' method. We treat …
Heat kernel estimates for Dirichlet forms degenerate at the boundary
本文建立了上半空间中两类纯不连续对称马尔可夫过程热核的精确双边估计，其中跳跃核在边界处退化，这是非局部算子热核估计的首个此类结果。
Nonlocal equations with degenerate weights
该研究引入带退化权的分数阶加权Sobolev空间，推导其嵌入与Poincaré不等式，证明对应非局部积分微分方程解的正则性，将经典结果推广到非线性非局部场景。
We consider a non-linear integro-differential model describing $z$, the position of the cell center on the real line presented in [Grec et al., J. Theo. Bio. 2018]. We introduce a new $\varepsilon$-scaling and we prove rigorously the asymptotics when $\varepsilon$ goes to zero. We show that this scaling characterizes the long-time behavior of the solutions of our problem in the cinematic regime (the velocity $\dot{z}$ tends to a limit). The convergence results are first given when $ψ$, the elastic energy associated to linkages, is convex and regular (the second order derivative of $ψ$ is bound…
Acceleration or finite speed propagation in integro-differential equations with logarithmic Allee effect
该研究针对带弱退化非线性项的积分微分方程传播问题，分析扩散核尾部对扩张速率的影响，得到行波存在性及传播模式的精确分界与加速速率，方法通用且有数值验证。
We state and prove a general Harnack inequality for minimizers of nonlocal, possibly degenerate, integro-differential operators, whose model is the fractional p-Laplacian.
Maximum principles for nonlinear integro-differential equations and symmetry of solutions
本文利用移动平面直接方法研究半线性与完全非线性积分微分方程解的对称性和单调性，并分析非局部算子在α趋于2时的极限，推广了已有结果。
This paper is devoted to the justification of the macroscopic, mean-field nutrient taxis system with doubly degenerate cross-diffusion proposed by Leyva et al. (2013) to model the complex spatio-temporal dynamics exhibited by the bacterium B. subtilis during experiments run in vitro. This justification is based on a microscopic description of the movement of individual cells whose changes in velocity (in both speed and orientation) obey a velocity jump process (Othmer, Dunbar, Alt, 1988), governed by a transport equation of Boltzmann type. For that purpose, the asymptotic method introduced by …
General theorems for existence and uniqueness of viscosity solutions for Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVI) with integral term are established. Such nonlinear partial integro-differential equations (PIDE) arise in the study of combined impulse and stochastic control for jump-diffusion processes. The HJBQVI consists of an HJB part (for stochastic control) combined with a nonlocal impulse intervention term. Existence results are proved via stochastic means, whereas our uniqueness (comparison) results adapt techniques from viscosity solution theory. This paper is to o…
We study nonlocal operators acting on functions in the Euclidean space. The operators under consideration generate anisotropic jump processes, e.g., a jump process that behaves like a stable process in each direction but with a different index of stability. Its generator is the sum of one-dimensional fractional Laplace operators with different orders of differentiability. We study such operators in the general framework of bounded measurable coefficients. We prove a weak Harnack inequality and Hölder regularity results for solutions to corresponding integro-differential equations.
We study a spatial asymptotic behaviour at infinity of kernels $p_t(x)$ for convolution semigroups of nonlocal pseudo-differential operators. We give general and sharp sufficient conditions under which the limits $$ \lim_{r \to \infty} \frac{p_t(rθ-y)}{t \, ν(rθ)}, \quad t \in T, \ \ θ\in E, \ \ y \in \mathbb R^d, $$ exist and can be effectively computed. Here $ν$ is the corresponding Lévy density, $T \subset (0,\infty)$ is a bounded time-set and $E$ is a subset of the unit sphere in $\mathbb R^d$, $d \geq 1$. Our results are local on the unit sphere. They apply to a wide class of convolution …
We consider a class of fully nonlinear integro-differential operators where the nonlocal integral has two components: the non-degenerate one corresponds to the $α$-stable operator and the second one (possibly degenerate) corresponds to a class of \textit{lower order} Lévy measures. Such operators do not have a global scaling property. We establish Hölder regularity, Harnack inequality and boundary Harnack property of solutions of these operators.
We extend the De Giorgi-Nash-Moser theory to nonlocal, possibly degenerate integro-differential operators.
In this paper we focus on qualitative properties of solutions to a nonlocal nonlinear partial integro-differential equation (PIDE). Using the theory of abstract semilinear parabolic equations we prove existence and uniqueness of a solution in the scale of Bessel potential spaces. Our aim is to generalize known existence results for a wide class of Lévy measures including with a strong singular kernel. As an application we consider a class of PIDEs arising in the financial mathematics. The classical linear Black-Scholes model relies on several restrictive assumptions such as liquidity and compl…
In this paper we will prove the existence of three nontrivial weak solutions of the following problem involving a nonlinear integro-differential operator and a term with critical exponent. \begin{align*} \begin{split} -\mathscr{L}_Φu & = |u|^{{p_{s}^{\ast}}-2}u+λf(x,u)\,\,\mbox{in}\,\,Ω,\\ u & = 0\,\, \mbox{in}\,\, \mathbb{R}^N\setminus Ω, \end{split} \end{align*} Here $q\in(p, p_s^*)$, where $p_s^*$ is the fractional Sobolev conjugate of $p$ and $-\mathscr{L}_Φ$ represents a general nonlocal integro-differential operator of order $s\in(0,1)$. This operator is possibly degenerate and covers th…
Regularity for mixed-order nonlinear fractional equations with degenerate coefficients
本文研究了具有退化系数的混合阶非线性分数阶方程的正则性，证明了弱解的局部有界性和Hölder正则性，并在特定条件下建立了Harnack不等式。
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