Hölder estimates for non-local parabolic equations with critical drift (Q2634265)

The authors study regularity properties for time evolution problems, driven by fully nonlinear integro-differential operators \(I\) of order \(\sigma \in [1, 2)\), with local and non-local drift \[ u_t - Iu = f (t). \] These types of equations arise naturally when studying evolution equations for purely discontinuous Lévy processes and appear, for example, in stochastic games in modeling the behaviuor of two players competing to maximize/minimize the expected value of a payoff function at the first exit point of the domain. They extend previous results on the regularity of solutions of integro-differential parabolic equations. The kernels are non-necessarily symmetric which could be interpreted as a non-local drift with the same order as the diffusion. They provide a growth lemma and a Harnack inequality which is essential in proving higher regularity estimates.