Fully nonlinear integro-differential equations

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.

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.

Definition

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 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 with respect to $\mathcal{L}$ is an equation of the form $Iu=0$ in $\Omega$ with $I$ uniformly elliptic respect to $\mathcal{L}$.

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 extremal Pucci operators. It is 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.

Examples

The two main examples are the following.

• The Bellman equation is the equality

\[ \sup_{a \in \mathcal{A}} \, L_a u(x) = f(x), \] 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 $L_a$.

• 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 $L_{ab}$.

Note. In several articles , fully nonlinear integro-differential equations of the form $F(D^2 u, Du, u, x, Lu)=f(x)$ are analyzed, where $L$ is a linear integro-differential operator. This is a rigid structure for an equation because if, for example, an equation is purely integro-differential (it does not depend on $D^2u$, $Du$ or $u$) then it is 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 that restriction seems to be just to have an equation that is short to write down.