Differentiability estimates and Evans-Krylov theorem: Difference between pages

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Given a [[fully nonlinear integro-differential equation]] $Iu=0$, [[uniformly elliptic]] with respect to certain [[class of operators]], sometimes an interior $C^{1,\alpha}$ estimate holds for some $\alpha>0$ (typically very small). Assume $I0=0$. The $C^{1,\alpha}$ estimate is a result like the following.
The Evans-Krylov theorem says that if $u$ is a solution to a uniformly elliptic, fully nonlinear, convex or concave, equation
\[ F(D^2 u) = 0 \text{ in } B_1,\]
then $u \in C^{2,\alpha}(B_{1/2})$ and there is an estimate
\[ \|u\|_{C^{2,\alpha}(B_{1/2})} \leq C \|u\|_{L^\infty(B_1)}, \]
where $C$ and $\alpha>0$ depend only on the ellipticity constants and dimension.


'''Theorem'''. Let $u \in L^\infty(R^n) \cap C(\overline B_1)$ solve the equation \[Iu = 0 \ \ \text{in } B_1.\]
{{stub}}
Then $u \in C^{1,\alpha}(B_{1/2})$ and the following estimate holds
\[ ||u||_{C^{1,\alpha}(B_{1/2})} \leq C ||u||_{L^\infty}. \]
 
A theorem as above is known to hold under some assumptions on the [[nonlocal operator]] $I$. A list of valid assumptions is provided below.
 
Note that the result is stated for general [[fully nonlinear integro-differential equations]], but the most important cases to apply it are the [[Isaacs equation]] and [[Bellman equation]].
 
== Idea of the proof ==
The idea to prove a $C^{1,\alpha}$ estimate is to apply [[Holder estimates]] to the derivatives of the solutions $u$. The directional derivatives $u_e$ satisfy the two inequalities
\[ M^+_{\mathcal L} u_e \geq 0 \text{ and } M^-_{\mathcal L} u_e \leq 0 \]
where $M^\pm_{\mathcal L}$ are the [[extremal operators]] with respect to the corresponding class of operators $\mathcal L$. If the [[Holder estimates]] apply to this class of operators, one would expect that $u_e \in C^\alpha$ for any vector $e$, and therefore $u \in C^{1,\alpha}$.
 
There is a technical problem with the idea above. The Holder estimates indicate that $u_e$ is $C^\alpha$ in some $B_{1/2}$ provided that $u_e$ is already known to be bounded in $L^\infty(\R^n)$. In order to obtain the estimate starting from $u \in L^\infty(\R^n)$, one applies the Holder estimates successively to gain regularity at every step and then prove iteratively that $u \in C^\alpha \Rightarrow u \in C^{2\alpha} \Rightarrow u \in C^{3\alpha} \Rightarrow \dots \Rightarrow u \in C^{1,\alpha}$. The last step in the iteration illustrates the difficulty. Imagine that we have already proved that $u$ is Lipschitz in $B_{3/4}$, so we know that $u_e \in L^\infty(B_{3/4})$ for any vector $e$. This is not enough to apply the Holder estimates to $u_e$ since we would need $u_e \in L^\infty(\R^n)$.
 
==Examples for which the estimate holds ==
 
=== Translation invariant, uniformly elliptic of order $s$, and some smoothness in the tails of the kernels ===
 
The first situation in which the interior $C^{1,\alpha}$ estimate was proved for a nonlocal equation was if $I$ is translation invariant and [[uniformly elliptic]] with respect to the class of kernels satisfying the following hypothesis for some $\rho_0$ small enough<ref name="CS"/>.
\begin{align*}
\frac{(2-s)\lambda}{|y|^{n+s}} \leq K(y) &\leq \frac{(2-s)\Lambda}{|y|^{n+s}} && \text{(standard unif. ellipticity of order $s$)}\\
\int_{\R^n \setminus B_{\rho_0}} \frac{|K(y)-K(y-h)|}{|h|} \mathrm d y &\leq C \qquad \text{every time $|h|<\frac {\rho_0} 2$} && \text{(kernel tails in $W^{1,1}$)}
\end{align*}
 
=== Variant if the kernel tails are $C^1$ ===
 
A small variation of the previous result is to assume the class of kernels satisfying the slightly stronger assumptions. A scale invariant class for which interior $C^{1,\alpha}$ regularity holds is <ref name="CS2"/>
\begin{align*}
\frac{(2-s)\lambda}{|y|^{n+s}} \leq K(y) &\leq \frac{(2-s)\Lambda}{|y|^{n+s}} && \text{(standard unif. ellipticity of order $s$)}\\
\nabla K(y) &\leq \frac{\Lambda}{|y|^{n+s+1}} && \text{appropriate decay of the kernel in $C^1$.}
\end{align*}
 
Then, any solution of $Iu=0$ in $B_r$ satisfies the estimate
\[ [u]_{C^{1,\alpha}(B_{r/2})} \leq C \left(\frac 1 {r^{1+\alpha}} ||u||_{L^\infty(B_r)} + \frac 1 {r^{1+\alpha-s}} \int_{\R^n \setminus B_r} \frac{|u(y)|}{|y|^{n+s}} \mathrm d y \right). \]
Other $C^{1,\alpha}$ estimates are obtained from this one using [[perturbation methods]] <ref name="CS2"/>.
 
=== A class of non-differentiable kernels ===
A scale invariant class for which interior $C^{1,\alpha}$ regularity holds and the kernels can be very irregular is given by the following hypothesis<ref name="CS2"/>
\begin{align*}
K(y) &= (2-s) \frac{a_1(y) + a_2(y)}{|y|^{n+s}} \\
\lambda &\leq a_1(y) \leq \Lambda \\
|a_2| &\leq \eta \\
|\nabla a_1(y)| &\leq \frac{C_1}{|y|} \qquad \text{in } \R^n \setminus \{0\}
\end{align*}
for $s>1$ and $\eta$ small enough (depending on $\lambda$, $\Lambda$, $C_1$ and dimension)
 
=== Isaacs equation with variable coefficients but close to constant ===
If $s>1$, the following Isaacs equation also has interior $C^{1,\alpha}$ estimates <ref name="CS2"/>. The family of integro-differential operators has kernels which are the sum of a fixed term $a_0$ (the same for all kernels in the class) and a small term which can depend on $x$.
\[ \inf_\alpha \ \sup_\beta \int_{\R^n} (u(x+y)+u(x-y)-2u(x)) \frac{(2-s)(a_0(y) + a_{\alpha \beta}(x,y))}{|y|^{n+s}} \mathrm d y =0\]
such that we have for $\eta$ small enough and any $\alpha$, $\beta$,
\begin{align*}
|a_{\alpha \beta}(x,y)| &< \eta \qquad \text{ for every } \alpha, \beta \\
\lambda &\leq a_0(y) \leq \Lambda \\
|\nabla a_0(y)| &\leq C |y|^{-1}
\end{align*}
(note that this $C^{1,\alpha}$ estimate is nontrivial in the linear case as well)
 
=== Isaacs equation with continuous coefficients ===
If $s>1$, the following Isaacs equation also has interior $C^{1,\alpha}$ estimates <ref name="CS2"/>.
\[ \inf_\alpha \ \sup_\beta \int_{\R^n} (u(x+y)+u(x-y)-2u(x)) \frac{(2-s)a_{\alpha \beta}(x,y)}{|y|^{n+s}} \mathrm d y = 0\]
such that for every $\alpha$, $\beta$ we have
\begin{align*}
\lambda \leq a_{\alpha \beta}(x,y) &\leq \Lambda \\
\nabla_y a_{\alpha \beta}(x,y) &\leq C_1/((2-s)|y|)\\
|a_{\alpha \beta}(x_1,y) - a_{\alpha \beta}(x_2,y)| &\leq c(|x_1-x_2|) && \text{for some uniform modulus of continuity $c$}.
\end{align*}
 
 
 
== References ==
{{reflist|refs=
<ref name="CS">{{Citation | last1=Caffarelli | first1=Luis | last2=Silvestre | first2=Luis | title=Regularity theory for fully nonlinear integro-differential equations | url=http://dx.doi.org/10.1002/cpa.20274 | doi=10.1002/cpa.20274 | year=2009 | journal=[[Communications on Pure and Applied Mathematics]] | issn=0010-3640 | volume=62 | issue=5 | pages=597–638}}</ref>
<ref name="CS2">{{Citation | last1=Caffarelli | first1=Luis | last2=Silvestre | first2=Luis | title=Regularity results for nonlocal equations by approximation | publisher=[[Springer-Verlag]] | location=Berlin, New York | year=2009 | journal=Archive for Rational Mechanics and Analysis | issn=0003-9527 | pages=1–30}}</ref>
}}

Latest revision as of 16:59, 13 May 2012

The Evans-Krylov theorem says that if $u$ is a solution to a uniformly elliptic, fully nonlinear, convex or concave, equation \[ F(D^2 u) = 0 \text{ in } B_1,\] then $u \in C^{2,\alpha}(B_{1/2})$ and there is an estimate \[ \|u\|_{C^{2,\alpha}(B_{1/2})} \leq C \|u\|_{L^\infty(B_1)}, \] where $C$ and $\alpha>0$ depend only on the ellipticity constants and dimension.

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