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 planar travelling wave as $t\to-\infty$ and to study how this solution propagates depending on the shape of the obstacle. We show that whether the solution recovers the shape of a planar front in the large time limit is equivalent to whether a certain Liouville type property is satisfied. We study the validity of this Liouville type property and we extend some previous results of Hamel, Valdinoci and the authors. Lastly, we show that the entire solution is a generalised transition front.
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.
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.
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…
The obstacle problem for scalar conservation laws with nonlocal dynamics
Escola de Matemática Aplicada, Fundação Getulio Vargas（应用数学学院，热图利奥·瓦加斯基金会）；Institute of Mathematics, Universität Rostock（罗斯托克大学数学研究所）；Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU)（埃尔朗根-纽伦堡弗里德里希-亚历山大大学）
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 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.
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 discuss in this note the stickiness phenomena for nonlocal minimal surfaces. Classical minimal surfaces in convex domains do not stick to the boundary of the domain, hence examples of stickiness can be obtained only by removing the assumption of convexity. On the other hand, in the nonlocal framework, stickiness is "generic". We provide various examples from the literature, and focus on the case of complete stickiness in highly nonlocal regimes.
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 are interested in the threshold phenomena for propagation in nonlocal diffusion equations with some compactly supported initial data. In the so-called bistable and ignition cases, we provide the first quantitative estimates for such phenomena. The outcomes dramatically depend on the tails of the dispersal kernel and can take a large variety of different forms. The strategy is to combine sharp estimates of the tails of the sum of i.i.d. random variables (coming, in particular, from large deviation theory) and the construction of accurate sub-and super-solutions.
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…
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…
This paper is concerned with the spatial propagation of nonlocal dispersal equations with bistable or multistable nonlinearity in exterior domains. We obtain the existence and uniqueness of an entire solution which behaves like a planar wave front as time goes to negative infinity. In particular, some disturbances on the profile of the entire solution happen as the entire solution comes to the interior domain. But the disturbances disappear as the entire solution is far away from the interior domain. Furthermore, we prove that the solution can gradually recover its planar wave profile and cont…
An inverse obstacle problem for the wave governed by the wave equation in a two layered medium is considered under the framework of the time domain enclosure method. The wave is generated by an initial data supported on a closed ball in the upper half-space, and observed on the same ball over a finite time interval. The unknown obstacle is penetrable and embedded in the lower half-space. It is assumed that the propagation speed of the wave in the upper half-space is greater than that of the wave in the lower half-space, which is excluded in the previous study: Ikehata and Kawashita (2018) to a…
For a smooth, bounded domain $Ω$, $s\in(0,1)$, $p\in \left(1,\frac{n+2s}{n-2s}\right)$ we consider the nonlocal equation $$ ε^{2s} (-Δ)^s u+u=u^p \quad {\mbox{in}}Ω$$ with zero Dirichlet datum and a small parameter $ε>0$. We construct a family of solutions that concentrate as $ε\to 0$ at an interior point of the domain in the form of a scaling of the ground state in entire space. Unlike the classical case $s=1$, the leading order of the associated reduced energy functional in a variational reduction procedure is of polynomial instead of exponential order on the distance from the boundary, due …
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.
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 front propagation phenomena for a large class of nonlocal KPP-type reaction-diffusion equations in oscillatory environments, which model various forms of population growth with periodic dependence. The nonlocal diffusion is an anisotropic integro-differential operator of order $α\in (0,2)$.
We discuss fattening phenomenon for the evolution of planar curves according to their nonlocal curvature. More precisely, we consider a class of generalized curvatures which correspond to the first variation of suitable nonlocal perimeter functionals, defined in terms of an interaction kernel $K$, which is symmetric, nonnegative, possibly singular at the origin, and satisfies appropriate integrability conditions. We prove a general result about uniqueness of the geometric evolutions starting from regular sets with positive $K$-curvature and we discuss the fattening phenomenon for the evolution…
This paper is concerned with a class of nonlocal dispersive models -- the $θ$-equation proposed by H. Liu [ On discreteness of the Hopf equation, {\it Acta Math. Appl. Sin.} Engl. Ser. {\bf 24}(3)(2008)423--440]: $$ (1-\partial_x^2)u_t+(1-θ\partial_x^2)(\frac{u^2}{2})_x =(1-4θ)(\frac{u_x^2}{2})_x, $$ including integrable equations such as the Camassa-Holm equation, $θ=1/3$, and the Degasperis-Procesi equation, $θ=1/4$, as special models. We investigate both global regularity of solutions and wave breaking phenomena for $θ\in \mathbb{R}$. It is shown that as $θ$ increases regularity of solution…
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 consider a spatially extended mesoscopic FitzHugh-Nagumo model with strong local interactions and prove that its asymptotic limit converges towards the classical nonlocal reaction-diffusion FitzHugh-Nagumo system. As the local interactions strongly dominate, the weak solution to the mesoscopic equation under consideration converges to the local equilibrium, which has the form of Dirac distribution concentrated to an averaged membrane potential. Our approach is based on techniques widely developed in kinetic theory (Wasserstein distance, relative entropy method), where macroscopic quantities…
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 study a question arising in inverse scattering theory: given a penetrable obstacle, does there exist an incident wave that does not scatter? We show that every penetrable obstacle with real-analytic boundary admits such an incident wave. At zero frequency, we use quadrature domains to show that there are also obstacles with inward cusps having this property. In the converse direction, under a nonvanishing condition for the incident wave, we show that there is a dichotomy for boundary points of any penetrable obstacle having this property: either the boundary is regular, or the complement of…
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 …
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 consider the fractional Laplace framework and provide models and theorems related to nonlocal diffusion phenomena. Some applications are presented, including: a simple probabilistic interpretation, water waves, crystal dislocations, nonlocal phase transitions, nonlocal minimal surfaces and Schrödinger equations. Furthermore, an example of an $s$-harmonic function, the harmonic extension and some insight on a fractional version of a classical conjecture formulated by De Giorgi are presented. Although this book aims at gathering some introductory material on the applications of the fractional…
In this paper we are interested in propagation phenomena for nonlocal reaction-diffusion equations of the type: $δ_tu = J \times u - u + f (x, u) t \in R^+, x \in R^N$, where J is a probability density and f is a KPP nonlinearity periodic in the x variables. Under suitable assumptions we establish the existence of pulsating fronts describing the invasion of the 0 state by a heterogeneous state. We also give a variational characterization of the minimal speed of such pulsating fronts and exponential bounds on the asymptotic behavior of the solution.
We prove some basic inequalities relating the Gagliardo-Nirenberg seminorms of a symmetric function $u$ on $\mathbb R^n$ and of its perturbation $uφ_μ$, where $φ_μ$ is a suitably chosen eigenfunction of the Laplace-Beltrami operator on the sphere $\mathbb S^{n-1}$, thus providing a technical but rather powerful tool to detect symmetry breaking and multiplicity phenomena in variational equations driven by the fractional Laplace operator. A concrete application to a problem related to the fractional Caffarelli-Kohn-Nirenberg inequality is given.
We study monotone numerical schemes for nonlocal Isaacs equations, the dynamic programming equations of stochastic differential games with jump-diffusion state processes. These equations are fully-nonlinear non-convex equations of order less than $2$. In this paper they are also allowed to be degenerate and have non-smooth solutions. The main contribution is a series of new a priori error estimates: The first results for nonlocal Isaacs equations, the first general results for degenerate non-convex equations of order greater than $1$, and the first results in the viscosity solution setting giv…
Partial differential equations (PDEs) are used, with huge success, to model phenomena arising across all scientific and engineering disciplines. However, across an equally wide swath, there exist situations in which PDE models fail to adequately model observed phenomena or are not the best available model for that purpose. On the other hand, in many situations, nonlocal models that account for interaction occurring at a distance have been shown to more faithfully and effectively model observed phenomena that involve possible singularities and other anomalies. In this article, we consider a gen…
We develop a linear theory of very weak solutions for nonlocal eigenvalue problems $\mathcal L u = λu + f$ involving integro-differential operators posed in bounded domains with homogeneous Dirichlet exterior condition, with and without singular boundary data. We consider mild hypotheses on the Green's function and the standard eigenbasis of the operator. The main examples in mind are the fractional Laplacian operators. Without singular boundary datum and when $λ$ is not an eigenvalue of the operator, we construct an $L^2$-projected theory of solutions, which we extend to the optimal space of …
