Hölder continuity of solutions of second-order non-linear elliptic integro-differential equations (Q610654)

The paper deals with the second-oder nonlinear elliptic integro-differential equation \[ F(x,u,Du,D^2u,{\mathcal I}[x,u])=0,\,\,\,\text{in}\,\,\,\Omega,\leqno(1) \] where \(\Omega\) is a domain in \(\mathbb{R}^N\), the function \(u\) is real-valued, \(F\) is a continuous function which is degenerate elliptic and \({\mathcal I}[x,u]\) is an integro-differential operator defined by \[ {\mathcal I}[x,u]=\displaystyle\int_{\mathbb{R}^N}(u(x+z)-u(x)-Du(x)\cdot z{\mathbf 1}_B(z))\mu_x(dz). \] Here \({\mathbf 1}_B\) denotes the indicator function of the unit ball \(B\) and \(\{\mu_x\}_{x\in\mathbb{R}^N}\) is a family of Lévy measures. Under general suitable strict ellipticity and regularity/growth conditions on the equation, the authors establish the local \(C^{0,\alpha}\) regularity of viscosity solutions of \((1)\) and give some explicit estimates for the solutions. Special cases of the operators \({\mathcal I}[x,u]\), namely Lévy-Itô operators, are also investigated under specific assumptions. The obtained results concern a large class of integro-differential operators whose singular measures depend on \(x\) and also a large class of equations, including Bellman-Isaacs equations.