Existence of stationary solutions to a nonlocal fourth-order elliptic obstacle problem arising from the modelling of microelectromechanical systems with heterogeneous dielectric properties is shown. The underlying variational structure of the model is exploited to construct these solutions as minimizers of a suitably regularized energy, which allows us to weaken considerably the assumptions on the model used in a previous article.
We prove the existence and $C^{1,α}$ regularity of solutions to nonlocal fully nonlinear elliptic double obstacle problems. We also obtain boundary regularity for these problems. The obstacles are assumed to be Lipschitz semi-concave/semi-convex functions, and we do not require them to be $C^1$. Our approach is to adapt a penalization method to be applicable to the setting of nonlocal equations and their viscosity solutions.
In this note, we give a brief overview of obstacle problems for nonlocal operators, focusing on the applications to financial mathematics. The class of nonlocal operators that we consider can be viewed as infinitesimal generators of non-Gaussian asset price models, such as Variance Gamma Processes and Regular Lévy Processes of Exponential type. In this context, we analyze the existence, uniqueness and regularity of viscosity solutions to obstacle problems which correspond to prices of perpetual and finite expiry American options. Complete proofs can be found in arXiv:1709.10384, where these re…
A linear inverse problem with semi-nonlocal boundary conditions for a three-dimensional equation of mixed type of the second kind of the fourth order in a parallelepiped
This paper is concerned with qualitative properties of solutions to nonlocal reaction-diffusion equations of the form$$ \int\_{\mathbb{R}^N\setminus K} J(x-y)\,\big( u(y)-u(x) \big)\,\D y+f(u(x))=0, \quad x\in\R^N\setminus K,$$set in a perforated open set $\mathbb{R}^N\setminus K$, where $K\subset\mathbb{R}^N$ is a bounded compact "obstacle" and $f$ is a bistable nonlinearity. When $K$ is convex, we prove some Liouville-type results for solutions satisfying some asymptotic limiting conditions at infinity. We also establish a robustness result, assuming slightly relaxed conditions on $K$.
We consider a nonlocal semi-linear parabolic equation on a connected exterior domain of the form $\mathbb{R}^N\setminus K$, where $K\subset\mathbb{R}^N$ is a compact "obstacle". The model we study is motivated by applications in biology and takes into account long range dispersal events that may be anisotropic depending on how a given population perceives the environment. To formulate this in a meaningful manner, we introduce a new theoretical framework which is of both mathematical and biological interest. The main goal of this paper is to construct an entire solution that behaves like a plan…
We study viscosity solutions to a system of nonlinear degenerate parabolic partial integro-differential equations with interconnected obstacles. This type of problem occurs in the context of optimal switching problems when the dynamics of the underlying state variable is described by an $n$-dimensional Levy process. We first establish a continuous dependence estimate for viscosity sub- and supersolutions to the system under mild regularity, growth and structural assumptions on the partial integro-differential operator and on the obstacles and terminal conditions. Using the continuous dependenc…
In this work we introduce the obstacle-mass constraint problem for a multidimensional scalar hyperbolic conservation law. We prove existence of an entropy solution to this problem by a penalization/viscosity method. The mass constraint introduces a nonlocal Lagrange multiplier in the penalized equation, giving rise to a nonlocal parabolic problem. We determine conditions on the initial data and on the obstacle function which ensure global in time existence of solution. These are not smoothness conditions, but relate to the propagation of the support of the initial data.
In this paper we study an obstacle problem for Monge-Ampère type functionals, whose Euler-Lagrange equations are a class of fourth order equations, including the affine maximal surface equations and Abreu's equation.
We study certain obstacle type problems involving standard and nonlocal minimal surfaces. We obtain optimal regularity of the solution and a characterization of the free boundary.
We analyse the obstacle problem for the nonlocal parabolic operator \[\partial_t u + (-Δ)^{s} u - b \cdot \nabla u - \mathcal{I}u - ru,\] where $b\in\mathbb{R}^n$, $r\in\mathbb{R}$, and $\mathcal{I}$ is a nonlocal lower order diffusion operator with respect to the fractional Laplace operator $(-Δ)^{s}$. This model appears in the study of American options pricing when the stochastic process governing the stock price is assumed to be a purely jump process. We study the existence and the uniqueness of solutions to the obstacle problem, and we prove optimal regularity of solutions in space, and al…
We prove existence, uniqueness, and regularity of viscosity solutions to the stationary and evolution obstacle problems defined by a class of nonlocal operators that are not stable-like and may have supercritical drift. We give sufficient conditions on the coefficients of the operator to obtain Hölder and Lipschitz continuous solutions. The class of nonlocal operators that we consider include non-Gaussian asset price models widely used in mathematical finance, such as Variance Gamma Processes and Regular Lévy Processes of Exponential type. In this context, the viscosity solutions that we analy…
We study the probability measures $ρ\in \mathcal M(\mathbb R^2)$ minimizing the functional \[ J[ρ]=\iint \log\frac1{|x-y|}dρ(x)dρ(y)+d^2(ρ, ρ_0), \] where $ρ_0$ is a given probability measure and $d(ρ, ρ_0)$ is the 2-Wasserstein distance of $ρ$ and $ρ_0$. % We prove the existence of minimizers $ρ$ and show that the potential $U^ρ=-\log|x|\ast ρ$ solves a degenerate obstacle problem, the obstacle being the transport potential. Every minimizer $ρ$ is absolutely continuous with respect to the Lebesgue measure. The singular set of the free boundary of the obstacle problem is contained in a rectifi…
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.
We prove integrability of a generalised non-commutative fourth order quintic nonlinear Schrodinger equation. The proof is relatively succinct and rooted in the linearisation method pioneered by Ch. Poppe. It is based on solving the corresponding linearised partial differential system to generate an evolutionary Hankel operator for the `scattering data'. The time-evolutionary solution to the non-commutative nonlinear partial differential system is then generated by solving a linear Fredholm equation which corresponds to the Marchenko equation. The integrability of reverse space-time and reverse…
This paper is concerned with a distributed optimal control problem for a nonlocal phase field model of Cahn-Hilliard type, which is a nonlocal version of a model for two-species phase segregation on an atomic lattice under the presence of diffusion. The local model has been investigated in a series of papers by P. Podio-Guidugli and the present authors; the nonlocal model studied here consists of a highly nonlinear parabolic equation coupled to an ordinary differential inclusion of subdifferential type. The inclusion originates from a free energy containing the indicator function of the interv…
A developable cone ("d-cone") is the shape made by an elastic sheet when it is pressed at its center into a hollow cylinder by a distance $ε$. Starting from a nonlinear model depending on the thickness $h > 0$ of the sheet, we prove a $Γ$-convergence result as $h \rightarrow 0$ to a fourth-order obstacle problem for curves in $\mathbb{S}^2$. We then describe the exact shape of minimizers of the limit problem when $ε$ is small. In particular, we rigorously justify previous results in the physics literature.
We prove existence of solutions and study the nonlocal-to-local asymptotics for nonlocal, convective, Cahn-Hilliard equations in the case of a W^{1,1} convolution kernel and under homogeneous Neumann conditions. Any type of potential, possibly also of double-obstacle or logarithmic type, is included. Additionally, we highlight variants and extensions to the setting of periodic boundary conditions and viscosity contributions, as well as connections with the general theory of evolutionary convergence of gradient flows.
We study the obstacle problem for a nonlocal, degenerate elliptic Monge--Ampère equation. We show existence and regularity of a unique classical solution to the problem and regularity of the free boundary.
We study the higher regularity of free boundaries in obstacle problems for integro-differential operators. Our main result establishes that, once free boundaries are $C^{1,α}$, then they are $C^\infty$. This completes the study of regular points, initiated in [5]. In order to achieve this, we need to establish optimal boundary regularity estimates for solutions to linear nonlocal equations in $C^{k,α}$ domains. These new estimates are the core of our paper, and extend previously known results by Grubb (for $k=\infty$) and by the second author and Serra (for $k=1$).
In this paper, we construct a counterexample to the Liouville property of some nonlocal reaction-diffusion equations of the form$$ \int\_{\mathbb{R}^N\setminus K} J(x-y)\,( u(y)-u(x) )\mathrm{d}y+f(u(x))=0, \quad x\in\R^N\setminus K,$$where $K\subset\mathbb{R}^N$ is a bounded compact set, called an "obstacle", and $f$ is a bistable nonlinearity. When $K$ is convex, it is known that solutions ranging in $[0,1]$ and satisfying $u(x)\to1$ as $|x|\to\infty$ must be identically $1$ in the whole space. We construct a nontrivial family of simply connected (non-starshaped) obstacles as well as data $f…
We study a nonlocal version of the one-phase Stefan problem which develops mushy regions, even if they were not present initially, a model which can be of interest at the mesoscopic scale. The equation involves a convolution with a compactly supported kernel. The created mushy regions have the size of the support of this kernel. If the kernel is suitably rescaled, such regions disappear and the solution converges to the solution of the usual local version of the one-phase Stefan problem. We prove that the model is well posed, and give several qualitative properties. In particular, the long-tim…
We study the regularity of the free boundary in the parabolic obstacle problem for the fractional Laplacian $(-Δ)^s$ (and more general integro-differential operators) in the regime $s>\frac{1}{2}$. We prove that once the free boundary is $C^1$ it is actually $C^{2,α}$. To do so, we establish a boundary Harnack inequality in $C^1$ and $C^{1,α}$ (moving) domains, providing that the quotient of two solutions of the linear equation, that vanish on the boundary, is as smooth as the boundary. As a consequence of our results we also establish for the first time optimal regularity of such solutions to…
We study the higher regularity of free boundaries in obstacle problems for integro-differential operators with drift, like $(-Δ)^s +b\cdot\nabla$, in the subcritical regime $s>\frac{1}{2}$. Our main result states that once the free boundary is $C^1$ then it is $C^\infty$, whenever $s\not\in\mathbb{Q}$. In order to achieve this, we establish a fine boundary expansion for solutions to linear nonlocal equations with drift in terms of the powers of distance function. Quite interestingly, due to the drift term, the powers do not increase by natural numbers and the fact that $s$ is irrational plays …
We consider a class of nonlocal shape optimization problems for sets of fixed mass where the energy functional is given by an attractive/repulsive interaction potential in power-law form. We find that the existence of minimizers of this shape optimization problem depends crucially on the value of the mass. Our results include existence theorems for large mass and nonexistence theorems for small mass in the class where the attractive part of the potential is quadratic. In particular, for the case where the repulsion is given by the Newtonian potential, we prove that there is a critical value fo…
We establish sharp boundary regularity estimates in $C^1$ and $C^{1,α}$ domains for nonlocal problems of the form $Lu=f$ in $Ω$, $u=0$ in $Ω^c$. Here, $L$ is a nonlocal elliptic operator of order $2s$, with $s\in(0,1)$. First, in $C^{1,α}$ domains we show that all solutions $u$ are $C^s$ up to the boundary and that $u/d^s\in C^α(\barΩ)$, where $d$ is the distance to $\partialΩ$. In $C^1$ domains, solutions are in general not comparable to $d^s$, and we prove a boundary Harnack principle in such domains. Namely, we show that if $u_1$ and $u_2$ are positive solutions, then $u_1/u_2$ is bounded a…
This note is a synthesis of my reflexions on some questions that have emerged during the MATRIX event "Recent Trends on Nonlinear PDEs of Elliptic and Parabolic Type" concerning the qualitative properties of solutions to some non local reaction-diffusion equations of the form L[u](x) + f (u(x)) = 0, for x $\in$ R n \ K, where K $\subset$ R N is a bounded smooth compact "obstacle", L is non local operator and f is a bistable nonlinearity. When K is convex and the nonlocal operator L is a continuous operator of convolution type then some Liouville-type results for solutions satisfying some asymp…
The existence of weak solutions to the obstacle problem for a nonlocal semilinear fourth-order parabolic equation is shown, using its underlying gradient flow structure. The model governs the dynamics of a microelectromechanical system with heterogeneous dielectric properties.
We study the obstacle problem for the fractional Laplacian with drift, $\min\left\{(-Δ)^s u + b \cdot \nabla u,\,u -φ\right\} = 0$ in $\mathbb{R}^n$, in the critical regime $s = \frac{1}{2}$. Our main result establishes the $C^{1,α}$ regularity of the free boundary around any regular point $x_0$, with an expansion of the form \[ u(x)-φ(x) = c_0\big((x-x_0)\cdot e\big)_+^{1+\tildeγ(x_0)} + o\left(|x-x_0|^{1+\tildeγ(x_0)+σ}\right), \] \[ \tildeγ(x_0) = \frac{1}{2}+\frac{1}π \arctan (b\cdot e), \] where $e \in \mathbb{S}^{n-1}$ is the normal vector to the free boundary, $σ>0$, and $c_0> 0$. We al…
We consider a porous medium equation with nonlocal diffusion effects given by an inverse fractional Laplacian operator. In a previous paper we have found mass-preserving, nonnegative weak solutions of the equation satisfying energy estimates. The equation is posed in the whole space R^n. Here we establish the large-time behaviour. We first find selfsimilar nonnegative solutions by solving an elliptic obstacle problem with fractional Laplacian for the pair pressure-density, which we call obstacle Barenblatt solutions. The theory for elliptic fractional problems with obstacles has been recently …
This paper investigates a nonlocal version of a model for phase separation on an atomic lattice that was introduced by P. Podio-Guidugli in Ric. Mat. 55 (2006) 105-118. The model consists of an initial-boundary value problem for a nonlinearly coupled system of two partial differential equations governing the evolution of an order parameter and the chemical potential. Singular contributions to the local free energy in the form of logarithmic or double-obstacle potentials are admitted. In contrast to the local model, which was studied by P. Podio-Guidugli and the present authors in a series of r…
In this article, we have considered a nonlinear nonlocal time dependent fourth order equation demonstrating the deformation of a thin and narrow rectangular plate. We propose $C^1$ conforming virtual element method (VEM) of arbitrary order, $k\ge2$, to approximate the model problem numerically. We employ VEM to discretize the space variable and fully implicit scheme for temporal variable. Well-posedness of the fully discrete scheme is proved under certain conditions on the physical parameters, and we derive optimal order of convergence in both space and time variable. Finally, numerical experi…
We study the obstacle problem for integro-differential operators of order $2s$, with $s\in (0,1)$. Our main result establishes that the free boundary is $C^{1,γ}$ and $u\in C^{1,s}$ near all regular points. Namely, we prove the following dichotomy at all free boundary points $x_0\in\partial\{u=φ\}$: (i) either $u(x)-φ(x)=c\,d^{1+s}(x)+o(|x-x_0|^{1+s+α})$ for some $c>0$, (ii) or $u(x)-φ(x)=o(|x-x_0|^{1+s+α})$, where $d$ is the distance to the contact set $\{u=φ\}$. Moreover, we show that the set of free boundary points $x_0$ satisfying (i) is open, and that the free boundary is $C^{1,γ}$ and $u…
We determine the nonlinear stability of shock-fronted travelling waves arising in a reaction-nonlinear diffusion PDE, subject to a fourth-order spatial derivative term multiplied by a small parameter $\varepsilon$ that models {\it nonlocal regularization}. Motivated by the authors' recent stability analysis of shock-fronted travelling waves under viscous relaxation, our numerical analysis is guided by the observation that there is a fast-slow decomposition of the associated eigenvalue problem for the linearised operator. In particular, we observe an astonishing reduction of the complex four-di…
