# Fully nonlinear integro-differential equations

(Difference between revisions)
 Revision as of 01:59, 7 February 2012 (view source)Luis (Talk | contribs)← Older edit Latest revision as of 14:12, 26 June 2015 (view source)Luis (Talk | contribs) (→Another definition) (12 intermediate revisions not shown) Line 1: Line 1: Fully nonlinear integro-differential equations are a nonlocal version of fully nonlinear elliptic equations of the form $F(D^2 u, Du, u, x)=0$. The main examples are the integro-differential [[Bellman equation]] from optimal control, and the [[Isaacs equation]] from stochastic games. Fully nonlinear integro-differential equations are a nonlocal version of fully nonlinear elliptic equations of the form $F(D^2 u, Du, u, x)=0$. The main examples are the integro-differential [[Bellman equation]] from optimal control, and the [[Isaacs equation]] from stochastic games. + + Equations of this type commonly satisfy a [[comparison principle]] and have some [[Regularity results for fully nonlinear integro-differential equations|regularity results]]. The general definition of ellipticity provided below does not require a specific form of the equation. However, the main two applications are the two above. The general definition of ellipticity provided below does not require a specific form of the equation. However, the main two applications are the two above. == Abstract definition == == Abstract definition == + + A nonlocal operator is any rule that assigns a value to $Iu(x)$ whenever $u$ is a bounded function in $\mathbb R^n$ that is $C^2$ around the point $x$. The most basic requirement to call $I$ '''elliptic''' is that whenever $u-v$ achieves a global nonnegative maximum at the point $x$, then + $Iu(x) \leq Iv(x).$ + + We now proceed to define the concept of uniform ellipticity. Given the richness of variations of nonlocal equations, we provide a flexible definition of uniform elliticity depending an arbitrary family of linear operators. Given a family of [[linear integro-differential operators]] $\mathcal{L}$, we define the [[extremal operators]] $M^+_\mathcal{L}$ and $M^-_\mathcal{L}$: Given a family of [[linear integro-differential operators]] $\mathcal{L}$, we define the [[extremal operators]] $M^+_\mathcal{L}$ and $M^-_\mathcal{L}$: Line 15: Line 22: for any $x \in \Omega$. for any $x \in \Omega$. - A fully nonlinear elliptic equation with respect to $\mathcal{L}$ is an equation of the form $Iu=0$ in $\Omega$ with $I$ uniformly elliptic respect to $\mathcal{L}$. + A fully nonlinear elliptic equation is an equation of the form $Iu=0$ in $\Omega$, for some elliptic operator $I$. {{note|text= If $\mathcal L$ consists of purely second order operators of the form $\mathrm{tr} \, A \cdot D^2 u$ with $\lambda I \leq A \leq \Lambda I$, then $M^+_{\mathcal L}$ and $M^-_{\mathcal L}$ denote the usual extremal Pucci operators. It is a ''folklore'' statement that then nonlinear operator $I$ elliptic respect to $\mathcal L$ in the sense described above must coincide with a fully nonlinear elliptic operator of the form $Iu = F(D^2u,x)$. However, this proof may have never been written anywhere. {{note|text= If $\mathcal L$ consists of purely second order operators of the form $\mathrm{tr} \, A \cdot D^2 u$ with $\lambda I \leq A \leq \Lambda I$, then $M^+_{\mathcal L}$ and $M^-_{\mathcal L}$ denote the usual extremal Pucci operators. It is a ''folklore'' statement that then nonlinear operator $I$ elliptic respect to $\mathcal L$ in the sense described above must coincide with a fully nonlinear elliptic operator of the form $Iu = F(D^2u,x)$. However, this proof may have never been written anywhere. }} }} - {{note|text=It is conceivable that any uniformly elliptic integro-differential equation coincides with some [[Isaacs equation]] for some family of linear operators $L_{ab}$, at least in the translation invariant case. This has never been proved either. + {{note|text=Any uniformly elliptic integro-differential equation with respect to some class $\mathcal L$ satisfies the following $\inf-\sup$ representation + $Iu(x) = \inf_{v \in C^2 \cap L^\infty} \sup_{L \in \mathcal L} \bigg\{ (Iv(x) - Lv(v)) + Lu(x) \bigg\}.$ + Therefore, $I$ coincides with some [[Isaacs equation]] for some family of linear operators $L_{ab}$ (the index $a$ ranges over all functions $v$ and the index $b$ over all linear operators $L$). + + In the case that $I$ is not uniformly elliptic with respect to any given class, an $\inf-\sup$ formula was also obtained when the operator $I$ is Frechet differentiable . }} }} Line 35: Line 46: On the other hand, the results in these papers apply to the more general definitions of fully nonlinear integro-differential equations as well. The reason for the restriction to one single integro-differential operator instead of a family $\{L_\alpha\}_\alpha$ seems to be taken only for simplicity. On the other hand, the results in these papers apply to the more general definitions of fully nonlinear integro-differential equations as well. The reason for the restriction to one single integro-differential operator instead of a family $\{L_\alpha\}_\alpha$ seems to be taken only for simplicity. + }} + + {{note|text= Whenever a general nonlocal operator corresponding to the first definition has an $\inf-\sup$ representation, it also fits the second definition. Any operator in the form of the second definition obviously fits the first definition. Therefore, for all practical purposes, the two definitions are practically equivalent. }} }} Line 65: Line 79: {{Citation | last1=Barles | first1=G. | last2=Chasseigne | first2=Emmanuel | last3=Imbert | first3=Cyril | title=On the Dirichlet problem for second-order elliptic integro-differential equations | url=http://dx.doi.org/10.1512/iumj.2008.57.3315 | doi=10.1512/iumj.2008.57.3315 | year=2008 | journal=Indiana University Mathematics Journal | issn=0022-2518 | volume=57 | issue=1 | pages=213–246}} {{Citation | last1=Barles | first1=G. | last2=Chasseigne | first2=Emmanuel | last3=Imbert | first3=Cyril | title=On the Dirichlet problem for second-order elliptic integro-differential equations | url=http://dx.doi.org/10.1512/iumj.2008.57.3315 | doi=10.1512/iumj.2008.57.3315 | year=2008 | journal=Indiana University Mathematics Journal | issn=0022-2518 | volume=57 | issue=1 | pages=213–246}} {{Citation | last1=Barles | first1=Guy | last2=Imbert | first2=Cyril | title=Second-order elliptic integro-differential equations: viscosity solutions' theory revisited | url=http://dx.doi.org/10.1016/j.anihpc.2007.02.007 | doi=10.1016/j.anihpc.2007.02.007 | year=2008 | journal=Annales de l'Institut Henri Poincaré. Analyse Non Linéaire | issn=0294-1449 | volume=25 | issue=3 | pages=567–585}} {{Citation | last1=Barles | first1=Guy | last2=Imbert | first2=Cyril | title=Second-order elliptic integro-differential equations: viscosity solutions' theory revisited | url=http://dx.doi.org/10.1016/j.anihpc.2007.02.007 | doi=10.1016/j.anihpc.2007.02.007 | year=2008 | journal=Annales de l'Institut Henri Poincaré. Analyse Non Linéaire | issn=0294-1449 | volume=25 | issue=3 | pages=567–585}} + {{Citation | last1=Guillen | first1= Nestor | last2=Schwab | first2= Russell W | title=Neumann Homogenization via Integro-Differential Operators | journal=arXiv preprint arXiv:1403.1980}} }} }}

## Latest revision as of 14:12, 26 June 2015

Fully nonlinear integro-differential equations are a nonlocal version of fully nonlinear elliptic equations of the form $F(D^2 u, Du, u, x)=0$. The main examples are the integro-differential Bellman equation from optimal control, and the Isaacs equation from stochastic games.

Equations of this type commonly satisfy a comparison principle and have some regularity results.

The general definition of ellipticity provided below does not require a specific form of the equation. However, the main two applications are the two above.

## Abstract definition [1][2]

A nonlocal operator is any rule that assigns a value to $Iu(x)$ whenever $u$ is a bounded function in $\mathbb R^n$ that is $C^2$ around the point $x$. The most basic requirement to call $I$ elliptic is that whenever $u-v$ achieves a global nonnegative maximum at the point $x$, then $Iu(x) \leq Iv(x).$

We now proceed to define the concept of uniform ellipticity. Given the richness of variations of nonlocal equations, we provide a flexible definition of uniform elliticity depending an arbitrary family of linear operators.

Given a family of linear integro-differential operators $\mathcal{L}$, we define the extremal operators $M^+_\mathcal{L}$ and $M^-_\mathcal{L}$: \begin{align*} M^+_\mathcal{L} u(x) &= \sup_{L \in \mathcal{L}} \, L u(x) \\ M^-_\mathcal{L} u(x) &= \inf_{L \in \mathcal{L}} \, L u(x) \end{align*}

We define a nonlinear operator $I$ to be uniformly elliptic in a domain $\Omega$ with respect to the class $\mathcal{L}$ if it assigns a continuous function $Iu$ to every function $u \in L^\infty(\R^n) \cap C^2(\Omega)$, and moreover for any two such functions $u$ and $v$: $M^-_\mathcal{L} [u-v](x)\leq Iu(x) - Iv(x) \leq M^+_\mathcal{L} [u-v] (x),$ for any $x \in \Omega$.

A fully nonlinear elliptic equation is an equation of the form $Iu=0$ in $\Omega$, for some elliptic operator $I$.

Note. If $\mathcal L$ consists of purely second order operators of the form $\mathrm{tr} \, A \cdot D^2 u$ with $\lambda I \leq A \leq \Lambda I$, then $M^+_{\mathcal L}$ and $M^-_{\mathcal L}$ denote the usual extremal Pucci operators. It is a folklore statement that then nonlinear operator $I$ elliptic respect to $\mathcal L$ in the sense described above must coincide with a fully nonlinear elliptic operator of the form $Iu = F(D^2u,x)$. However, this proof may have never been written anywhere.
Note. Any uniformly elliptic integro-differential equation with respect to some class $\mathcal L$ satisfies the following $\inf-\sup$ representation $Iu(x) = \inf_{v \in C^2 \cap L^\infty} \sup_{L \in \mathcal L} \bigg\{ (Iv(x) - Lv(v)) + Lu(x) \bigg\}.$ Therefore, $I$ coincides with some Isaacs equation for some family of linear operators $L_{ab}$ (the index $a$ ranges over all functions $v$ and the index $b$ over all linear operators $L$). In the case that $I$ is not uniformly elliptic with respect to any given class, an $\inf-\sup$ formula was also obtained when the operator $I$ is Frechet differentiable [3].

## Another definition

Another definition which gives a more concrete structure to the equation has been suggested [4]. It is not clear if both definitions are equivalent, but both include the most important examples and are amenable of approximately the same methods.

Given a family of linear integro-differential operators $L_\alpha$ indexed by a parameter $\alpha$ which ranges in an arbitrary set $A$, a fully nonlinear elliptic equation is an equation of the form $F(D^2 u, Du, u, x, \{L_\alpha\}_\alpha) = 0 \qquad \text{in } \Omega.$ Where the function $F(X,p,z,x,\{i_\alpha\}_\alpha)$ is monotone increasing with respect to $X$ and $\{i_\alpha\}$ and monotone decreasing with respect to $z$.

Note that the family of linear operators $\{L_\alpha\}$ can range in an arbitrarily large set $A$ (it could even be uncountable).

Note. In several articles [4][5][6], fully nonlinear integro-differential equations of the form $F(D^2 u, Du, u, x, Lu)=f(x)$ are analyzed, where $L$ is one fixed linear integro-differential operator. This is a rigid structure for purely integro-differential equations because such equation (which would not depend on $D^2u$, $Du$ or $u$) would be forced to be linear: $Lu(x) = [F(x,\cdot)^{-1}f(x)]$. On the other hand, the results in these papers apply to the more general definitions of fully nonlinear integro-differential equations as well. The reason for the restriction to one single integro-differential operator instead of a family $\{L_\alpha\}_\alpha$ seems to be taken only for simplicity.
Note. Whenever a general nonlocal operator corresponding to the first definition has an $\inf-\sup$ representation, it also fits the second definition. Any operator in the form of the second definition obviously fits the first definition. Therefore, for all practical purposes, the two definitions are practically equivalent.

## Examples

The two main examples are the following.

$\sup_{a \in \mathcal{A}} \, L_a u(x) = f(x),$ where $L_a$ is some family of linear integro-differential operators indexed by an arbitrary set $\mathcal{A}$.

The equation appears naturally in problems of stochastic control with Levy processes.

The equation is uniformly elliptic with respect to any class $\mathcal{L}$ that contains all the operators $L_a$.

$\sup_{a \in \mathcal{A}} \ \inf_{b \in \mathcal{B}} \ L_{ab} u(x) = f(x),$ where $L_{ab}$ is some family of linear integro-differential operators with two indices $a \in \mathcal A$ and $b \in \mathcal B$.

The equation appears naturally in zero sum stochastic games with Levy processes.

The equation is uniformly elliptic with respect to any class $\mathcal{L}$ that contains all the operators $L_{ab}$.

## References

1. Caffarelli, Luis; Silvestre, Luis (2009), "Regularity theory for fully nonlinear integro-differential equations", Communications on Pure and Applied Mathematics 62 (5): 597–638, doi:10.1002/cpa.20274, ISSN 0010-3640
2. Caffarelli, Luis; Silvestre, Luis, "Regularity results for nonlocal equations by approximation", Archive for Rational Mechanics and Analysis (Berlin, New York: Springer-Verlag): 1–30, ISSN 0003-9527
3. Guillen, Nestor; Schwab, Russell W, "Neumann Homogenization via Integro-Differential Operators", arXiv preprint arXiv:1403.1980
4. 4.0 4.1 Barles, Guy; Imbert, Cyril (2008), "Second-order elliptic integro-differential equations: viscosity solutions' theory revisited", Annales de l'Institut Henri Poincaré. Analyse Non Linéaire 25 (3): 567–585, doi:10.1016/j.anihpc.2007.02.007, ISSN 0294-1449
5. Barles, G.; Chasseigne, Emmanuel; Imbert, Cyril (2008), "On the Dirichlet problem for second-order elliptic integro-differential equations", Indiana University Mathematics Journal 57 (1): 213–246, doi:10.1512/iumj.2008.57.3315, ISSN 0022-2518
6. Barles, Guy; Chasseigne, Emmanuel; Imbert, Cyril (2011), "Hölder continuity of solutions of second-order non-linear elliptic integro-differential equations", Journal of the European Mathematical Society (JEMS) 13 (1): 1–26, doi:10.4171/JEMS/242, ISSN 1435-9855