# Isaacs equation

(Difference between revisions)
 Revision as of 00:24, 8 February 2012 (view source)Luis (Talk | contribs)← Older edit Latest revision as of 14:14, 26 June 2015 (view source)Luis (Talk | contribs) Line 12: Line 12: A more general second order fully nonlinear uniformly elliptic PDE $F(D^2 u, Du, u, x)=0$ can also be written as an Isaacs equation if it is Lipschitz with respect to all parameters. A more general second order fully nonlinear uniformly elliptic PDE $F(D^2 u, Du, u, x)=0$ can also be written as an Isaacs equation if it is Lipschitz with respect to all parameters. + + Under very general assumptions, [[fully nonlinear integro-differential equations]] can be written in the form of an Isaacs equation. {{stub}} {{stub}}

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

The Isaacs equation is the equality $\sup_{a \in \mathcal{A}} \ \inf_{b \in \mathcal{B}} \ L_{ab} u(x) = f(x),$ 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 $L_{ab}$. Under some conditions on that class, there are interior $C^{1,\alpha}$ estimates for the solution.

Note that any second order fully nonlinear uniformly elliptic PDE $F(D^2 u)=0$ can be written as an Isaacs equation by the following two steps:

1. $F(X)$ is Lipschitz with constant $\Lambda$, so it is the infimum of all cones $C_{X_0}(x) = F(X_0) + \Lambda|X-X_0|$.
2. Each cone $C(X)$ is the supremum of all linear functions of the form $L(X) = F(X_0) + \mathrm{tr} \, A \cdot (X-X_0)$ for $||A||\leq \Lambda$.

A more general second order fully nonlinear uniformly elliptic PDE $F(D^2 u, Du, u, x)=0$ can also be written as an Isaacs equation if it is Lipschitz with respect to all parameters.

Under very general assumptions, fully nonlinear integro-differential equations can be written in the form of an Isaacs equation.