The aim of this work is to revisit viscosity solutions' theory for second-order elliptic integro-differential equations and to provide a general framework which takes into account solutions with arbitrary growth at infinity. Our main contribution is a new Jensen-Ishii's Lemma for integro-differential equations, which is stated for solutions with no restriction on their growth at infinity. The proof of this result, which is of course a key ingredient to prove comparison principles, relies on a new definition of viscosity solution for integro-differential equation (equivalent to the two classical ones) which combines the approach with test-functions and sub-superjets.
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.
The equivalence of three different definitions of viscosity solutions for the integro-differential equation with the L{é}vy operator is shown in this paper. The key is Lemma 2.1, in which we construct a sequence of the approximating test functions.
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 study existence of principal eigenvalues of fully nonlinear integro-differential elliptic equations with a drift term via the Krein-Rutman theorem which based on regularity up to boundary of viscosity solutions. We also show the simplicity of the eigenfunctions in viscosity sense by a nonlocal version of ABP estimate.
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.
In this paper, we study the large time behavior of solutions of a class of parabolic fully nonlinear integro-differential equations in a periodic setting. In order to do so, we first solve the ergodic problem}(or cell problem), i.e. we construct solutions of the form $λt + v(x)$. We then prove that solutions of the Cauchy problem look like those specific solutions as time goes to infinity. We face two key difficulties to carry out this classical program: (i) the fact that we handle the case of "mixed operators" for which the required ellipticity comes from a combination of the properties of th…
This paper is concerned with the study of the Strong Maximum Principle for semicontinuous viscosity solutions of fully nonlinear, second-order parabolic integro-differential equations. We study separately the propagation of maxima in the horizontal component of the domain and the local vertical propagation in simply connected sets of the domain. We give two types of results for horizontal propagation of maxima: one is the natural extension of the classical results of local propagation of maxima and the other comes from the structure of the nonlocal operator. As an application, we use the Stron…
This paper is concerned with existence of a $C^α$ viscosity solution of a second order non-translation invariant integro-PDE. We first obtain a weak Harnack inequality for such integro-PDE. We then use the weak Harnack inequality to prove Hölder regularity and existence of solutions of the integro-PDEs.
This paper is concerned with higher Hölder regularity for viscosity solutions to non-translation invariant second order integro-PDEs, compared to \cite{mou2018}. We first obtain $C^{1,α}$ regularity estimates for fully nonlinear integro-PDEs. We then prove the Schauder estimates for solutions if the equation is convex.
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.
We prove that for a certain class of kernels $K(y)$ that viscosity solutions of the integro-differential equation $$ \int_{\mathbb R^n} (u(x+y) - 2 u(x) + u(x-y)) K(y) dy = f(x,u(x)) $$ are locally analytic if $f$ is an analytic function. This extends the result of Albanese, Fiscella, Valdinoci that such solutions belong to certain Gevrey classes.
We prove for some singular kernels $K(x,y)$ that viscosity solutions of the integro-differential equation $\int_{\mathbb{R}^n} \left[u(x+y)+u(x-y)-2u(x)\right]\,K(x,y)dy=f(x)$ locally belong to some Gevrey class if so does $f$. The fractional Laplacian equation is included in this framework as a special case.
We study the regularity properties of integro-partial differential equations of Hamilton-Jocobi-Bellman type with terminal condition, which can be interpreted through a stochastic control system, composed of a forward and a backward stochastic differential equation, both driven by a Brownian motion and a compensated Poisson random measure. More precisely, we prove that, under appropriate assumptions, the viscosity solution of such equations is jointly Lipschitz and jointly semiconcave in $(t,x)\inΔ\times\R^d$, for all compact time intervals $Δ$ excluding the terminal time. Our approach is base…
In this paper, we show that the minimal solution of a backward stochastic differential equation gives a probabilistic representation of the minimal viscosity solution of an integro-partial differential equation both with a singular terminal condition. Singularity means that at the final time, the value of the solution can be equal to infinity. Different types of regularity of this viscosity solution are investigated: Sobolev, H{ö}lder or strong regularity.
We consider a class of nonlinear integro-differential operators and prove existence of two principal (half) eigenvalues in bounded smooth domains with exterior Dirichlet condition. We then establish simplicity of the principal eigenfunctions in viscosity sense, maximum principles, continuity property of the principal eigenvalues with respect to domains etc. We also prove an anti-maximum principle and study existence result for some nonlinear problem via Rabinowitz bifurcation-type results.
The paper is concerned with a class of mathematical models for polymeric fluids, which involves the coupling of the Navier-Stokes equations for a viscous, incompressible, constant-density fluid with a parabolic-hyperbolic integro-differential equation describing the evolution of the polymer distribution function in the solvent, and a parabolic integro-differential equation for the evolution of the monomer density function in the solvent. The viscosity coefficient appearing in the balance of linear momentum equation in the Navier-Stokes system includes dependence on the shear-rate as well as on…
In this paper we study integro-differential equations like the anisotropic fractional Laplacian. As in [Silvestre, Indiana University Mathematics Journal 55, 2006], we adapt the De Giorgi technique to achieve the $C^γ$-regularity for solutions of class $C^{2}$ and use the geometry found in [Caffarelli, Leitão, and Urbano, Math. Ann. 360, 2014] to get an ABP estimate, a Harnack inequality and the interior $C^{1, γ}$ regularity for viscosity solutions.
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 …
In this paper we are interested on the well-posedness of Dirichlet problems associated to integro-differential elliptic operators of order $α< 1$ in a bounded smooth domain $Ω$ . The main difficulty arises because of losses of the boundary condition for sub and supersolutions due to the lower diffusive effect of the elliptic operator compared with the drift term. We consider the notion of viscosity solution with generalized boundary conditions, concluding strong comparison principles in $\barΩ$ under rather general assumptions over the drift term. As a consequence, existence and uniqueness of …
In this paper, the regularity results for the integro-differential operators of the fractional Laplacian type by Caffarelli and Silvestre \cite{CS1} are extended to those for the integro-differential operators associated with symmetric, regularly varying kernels at zero. In particular, we obtain the uniform Harnack inequality and Hölder estimate of viscosity solutions to the nonlinear integro-differential equations associated with the kernels $K_{σ, β}$ satisfying $$ K_{σ,β}(y)\asymp \frac{ 2-σ}{|y|^{n+σ}}\left( \log\frac{2}{|y|^2}\right)^{β(2-σ)}\quad \mbox{near zero} $$ with respect to $σ\in…
This paper is concerned with Hölder regularity of viscosity solutions of second-order, fully non-linear elliptic integro-differential equations. Our results rely on two key ingredients: first we assume that, at each point of the domain, either the equation is strictly elliptic in the classical fully non-linear sense, or (and this is the most original part of our work) the equation is strictly elliptic in a non-local non-linear sense we make precise. Next we impose some regularity and growth conditions on the equation. These results are concerned with a large class of integro-differential opera…
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…
We prove new comparison principles for viscosity solutions of non-linear integro-differential equations. The operators to which the method applies include but are not limited to those of Lévy-Itô type. The main idea is to use an optimal transport map to couple two different Lévy measures, and use the resulting coupling in a doubling of variables argument
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 consider a large family of integro-differential equations and establish a non-local counterpart of Hopf's lemma, directly expressed in terms of the symbol of the operator. As closely related problems, we also obtain a variety of maximum principles for viscosity solutions. In our approach we combine direct analysis with functional integration, allowing a robust control around the boundary of the domain, and make use of the related ascending ladder height-processes. We then apply these results to a study of principal eigenvalue problems, the radial symmetry of the positive solutions, and the …
The comparison principle and the existence of the solution of the integro-differential equation with L{é}vy operators, in the framework of the viscosity solution, are shown in this paper. For the one dimensional case, a detailed estimate of the H{ö}lder continuity of solutions is presented, by localizing the singularity of the L{é}vy measure.
A comparison principle based on couplings of partial integro-differential operators
Delft Institute of Applied Mathematics, Delft University of Technology（代尔夫特理工大学应用数学研究所）；Center for Mathematical Economics, Bielefeld University（比勒费尔德大学经济数学中心）
In this work we provide an Aleksandrov-Bakelman-Pucci type estimate for a certain class of fully nonlinear elliptic integro-differential equations, the proof of which relies on an appropriate generalization of the convex envelope to a nonlocal, fractional-order setting and on the use of Riesz potentials to interpret second derivatives as fractional order operators. This result applies to a family of equations involving some nondegenerate kernels and as a consequence provides some new regularity results for previously untreated equations. Furthermore, this result also gives a new comparison the…
We consider the Cauchy-Dirichlet problem $\partial_t u - F(t,x,u,Du,D^2 u) = 0 on (0,T)\times \R^n$ in viscosity sense. Comparison is established for bounded semi-continuous (sub-/super-)solutions under structural assumption (3.14) of the User's Guide plus a mild condition on $F$ such as to cope with the unbounded domain. Comparison on $(0,T]$, space-time regularity and existence are also discussed. Our analysis passes through an extension of the parabolic theorem of sums which appears to be useful in its own right.
We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem for a degenerate Hamilton-Jacobi-Bellman integro-partial differential equation in a bounded domain. We show that the unique viscosity solution is the value function of the associated stochastic optimal control problem. We also obtain the dynamic programming principle for the associated stochastic optimal control problem in a bounded domain.
Improved Regularity for Nonlocal Hamilton--Jacobi Equations with Superlinear Hamiltonians
Université Paris Cité, CNRS, Sorbonne Université（巴黎西岱大学、法国国家科学研究中心、索邦大学）；O. Mayer Mathematics Institute, Romanian Academy（罗马尼亚科学院 O. Mayer 数学研究所）；Univ Rennes, INSA Rennes, CNRS（雷恩大学、雷恩国立应用科学学院、法国国家科学研究中心）
The strong maximum principle ((SMP) in short) for subsolutions of the radiative transfer type equations is shown in this paper. We treat a general class of integro-differential equations, defined in the product space of the space variable "x" and the velocity variable "v". The equations consist of two terms : a nonlocal integral operator in v variable, and a first-order partial-differential operator in x variable. The nonlocal term represents the jump process in v direction, and the term of the first-order partial differential operator describes the drift in x direction. In particular, the dri…
Viscosity Supersolution Barriers to a Non-local Free Boundary Problem
Yerevan State University（埃里温国立大学）；Institute of Mathematics of NAS RA（亚美尼亚国家科学院数学研究所）；DiGREA lab, Center for Scientific Innovation and Education（科学与教育创新中心 DiGREA 实验室）
This paper provides a unified mathematical analysis of a family of non-local diffuse interface models for tumor growth describing evolutions driven by long-range interactions. These integro-partial differential equations model cell-to-cell adhesion by a non-local term and may be seen as non-local variants of the corresponding local model proposed by H. Garcke et al. (2016). The model in consideration couples a non-local Cahn-Hilliard equation for the tumor phase variable with a reaction-diffusion equation for the nutrient concentration, and takes into account also significant mechanisms such a…
